The OP previously verified that $x^5 - 2$ has no root in $\mathbb{Z}_{31}$, equiv. no linear factor.
Lubin's Answer contains the key observation that any root $\alpha$ of $x^5 - 2$ in a field extension of $\mathbb{Z}_{31}$ would be a twenty-fifth root of unity, since $2$ is already a fifth root of unity in $\mathbb{Z}_{31}$. Indeed $\mathbb{Z}_{31}$ contains the five roots of $x^5-1$, namely $1,2,4,8,16$, as many as a field can have for a fifth degree polynomial (by Fund. Thm. of Algebra).
The OP has puzzled out an argument to finish this Qualifying Exam problem based on the order of the multiplicative group of any quadratic field extension.
If $\alpha$ satisfied a quadratic irreducible factor of $x^5 - 2$, say polynomial $p(x)$, then the simple field extension $\mathbb{Z}_{31}(\alpha)$ would have dimension two over $\mathbb{Z}_{31}$ as a vector space and contain $961 = 31^2$ elements.
The nonzero elements of this field extension are units and form a multiplicative group of order one less (omitting zero), $960$.
But the multiplicative order of $\alpha$ is $25$, just restating that it is a twenty-fifth root of unity but not a fifth root of unity. But if $\alpha$ is in the multiplicative group of order $960$, a consequence of Lagrange's Thm. is that $25$ divides $960$.
Since that just isn't true, $x^5 - 2$ has no quadratic irreducible factors over $\mathbb{Z}_{31}$. By eliminating any linear and quadratic factors of $x^5 -2$ we conclude this fifth degree polynomial is irreducible (if it factored, one factor would necessarily have degree two or less).