不妨设 $A M$ 中点为 $Q\left(m, \frac{m}{2}\right)$ ,设 $C\left(x_{1}, y_{1}\right), D\left(x_{2}, y_{2}\right)$
则 $l$ 方程为 $y=2(x-m)+\frac{m}{2}=2 x-\frac{3}{2} m$ ,
$\left\{\begin{array}{l}y=2 x-\frac{3}{2} m \\ \frac{x^{2}}{4 m^{2}}+\frac{y^{2}}{5}=1\end{array} \Rightarrow\left(16 m^{2}+5\right) x^{2}-24 m^{3} x+9 m^{4}-20 m^{2}=0, \Delta>0,\left\{\begin{array}{l}x_{1}+x_{2}=\frac{24 m^{3}}{16 m^{2}+5} \\ x_{1} x_{2}=\frac{9 m^{4}-20 m^{2}}{16 m^{2}+5}\end{array}\right.\right.$,
故 $\overrightarrow{M C}=\left(x_{1}, y_{1}-m\right)=\left(x_{1}, 2 x_{1}-\frac{5}{2} m\right), \overrightarrow{M D}=\left(x_{2}, 2 x_{2}-\frac{5}{2} m\right)$ ,
由 $\angle C M D$ 为针角,
故 $\overrightarrow{M C} \cdot \overrightarrow{M D}=x_{1} x_{2}+\left(2 x_{1}-\frac{5}{2} m\right) \cdot\left(2 x_{2}-\frac{5}{2} m\right)=5 x_{1} x_{2}-5 m\left(x_{1}+x_{2}\right)+\frac{25}{4} m^{2}<0$ ,
$5 \cdot \frac{9 m^{4}-20 m^{2}}{16 m^{2}+5}-5 m \cdot \frac{24 m^{3}}{16 m^{2}+5}+\frac{25}{4} m^{2}=\frac{25 m^{4}-\frac{275}{4} m^{2}}{16 m^{2}+5}<0$ ,
故 $m<\frac{\sqrt{11}}{2}$ ,即 $a=2 m<\sqrt{11}$ ,
由 $a>\sqrt{5}$ 得,$a \in(\sqrt{5}, \sqrt{11})$ .