I'll make it easy:
The best performance will be with the OEM air intake. It is awesome in it's design and it comes with a super efficient synthetic fiber air filter with massive surface area and really thick pleats. You might be able to slightly increase your real world MPG by restricting it but this will definitely impact available power so it's not something anyone I know wants to do.
The engine is superbly optimized by Mazda and there's not really any room for significant improvements short of putting in some of Mazda's high Molybdenum 0W20 synthetic oil. That will give a very slight boost to MPG and power but you may or may not feel it.
You could get a little more acceleration and better MPG by springing for some lighter wheels. If acceleration and better MPG are your primary goals, you might consider reducing wheel width by an inch or less (assuming you can find tires with proper speed/load ratings in narrower sizes) but this will slightly reduce cornering performance. Probably better to try to pick wheels and tires on the lighter side of the spectrum in standard sizes. Avoid models with 19" wheels for maximum MPG/acceleration. Also avoid unnecessary exterior protruding accessories such as mud flaps and roof racks. Models without the moonroof are lighter and have a lower center of gravity for better cornering and the manual transmission FWD will offer better performance over an Auto with AWD.
Other than this, keep to the scheduled maintenance, rotate tires regularly (and check pressures) and try not to let a bunch of unneeded weight build up inside in the form of junk that never gets removed. Most people who choose the CX-5 are happy with it's performance (or they would have chosen a vehicle with more performance to begin with).
