The list of page sizes presented in Word are the page sizes presented to the OS by your printer driver.
If you haven't already, go get the latest driver for your printer from the printer's manufacturer and see if it adds A5 for you.
If updating the driver doesn't just add it automatically, then you'll either need to manually add the A5 size to your printer driver as a custom size (may or may not be possible, depending on the printer driver in use), or get a printer driver/printer that properly reports it supports A5 to the OS.