In your first attempt, you have essentially shown there are $25$ distinct cosets, namely:
$\{[a+b\sqrt{-2}]:a,b \in \{0,1,2,3,4\}\}$.
So, if nothing else, we know we have a commutative ring of $25$ elements.
To show this is a field, it suffices to show that $(5)$ is a maximal ideal in $\Bbb Z[\sqrt{-2}]$.
This is much easier if you already know $\Bbb Z[\sqrt{-2}]$ is a Euclidean domain, and thus a PID, in which case if $J$ is an ideal containing $(5)$ it must be of the form $(d)$ where $d|5$.
Arguing from norms, you should be able to show $5$ is irreducible (in $\Bbb Z[\sqrt{-2}]$); hence, you have a field (because $(5)$ is thus a maximal ideal) of $25$ elements, which is thus isomorphic to $\Bbb F_{25}$.
Now if $u$ is a root of the polynomial $x^2 + x + 1 \in \Bbb Z_5[x]$, it should be clear that $\Bbb Z_5(u) \cong \dfrac{\Bbb Z_5[x]}{(x^2+x+1)}$. This is also a field, since $x^2 + x + 1$ is irreducible over $\Bbb Z_5$ (this is easy to show since we need merely test all five elements of $\Bbb Z_5$ as roots).
Considering $\Bbb Z_5(u)$ as a vector space over $\Bbb Z_5$, we see it has dimension $2$ with basis $\{1,u\}$. Since all elements are thus of the form:
$a+bu: a,b \in \Bbb Z_5$, this is again a field of $25$ elements, and thus isomorphic to $\Bbb F_{25}$.
One can also exhibit an isomorphism, but this is not as easy as sending:
$[a + b\sqrt{-2}] \mapsto a + bu$ (which is merely an abelian group isomorphism, because $u^2 = 4u + 4 \neq 3 = -2$).
As if by magic, we find that:
$(u+2)^2 = u^2 + 4u + 4 = (4u + 4) + (4u + 4) = 2(4u + 4) = 3u + 3 \neq 1$
$(u+2)^3 = (u+2)(u+2)^2 = (u+2)(3u + 3) = 3u^2 + 4u + 1 = 3(4u + 4) + 4u + 1 = (2u + 2) + (4u + 1) = u + 3 \neq 1$
$(u+2)^4 = ((u+2)^2)^2 = (3u + 3)^2 = 4u^2 + 3u + 4 = 4(4u + 4) + 3u + 4 = (u + 1) + (3u + 4) = 4u \neq 1$
$(u+2)^6 = ((u+2)^3)^2 = (u+3)^2 = u^2 + u + 4 = (4u + 4) + (u + 4) = 3 \neq 1$
$(u+2)^8 = ((u+2)^4)^2 = (4u)^2 = u^2 = 4u + 4 \neq 1$
$(u+2)^{12} = ((u+2)^6)^2 = 3^2 = 4 \neq 1$.
This shows that $u+2$ is a primitive element of $\Bbb Z_5(u)$ (since it generates $(\Bbb Z_5(u))^{\ast}$).
Now in $\Bbb Z[\sqrt{-2}]/(5)$, the coset of $\sqrt{-2}$ is an element of order $8$, which suggests an isomorphism might send this coset to $(u+2)^3 = u+3$, that is we set:
$[a+b\sqrt{-2}] \mapsto (a+3b) + bu$
I leave to you the exquisitely joyous task of showing this is indeed a ring-homomorphism, and thus is an isomorphism between the two versions of our field.