I found a supplier for these in the UK. Bourne Road Garage Mazda.
http://shop.crayford-mazda.co.uk/category/Mazda_CX_5,b.html
You can simply email off the site or call. You want to ask for Andrew Fisher. He is great. The headsets take about 4 weeks to arrive in the UK from Japan (they are not in stock in the UK) and then about 4-7 days more via UPS to the good ole USA.
I ordered two sets, one for me and one for a friend, and the total shipped to my home was about $405. Not bad at all - $202.50 for a set. Obviously if you purchase one set the cost will be a bit higher as you have to pay the full shipping fee alone.
The headrests sell for 54.29 GBP each (108.58 GBP for two) plus shipping (I'm assuming prices can always change so do inquire). In my case the shipping was 39.50 GBP. Part numer- KD5188240A02 (black leather GT).
My CX-5 is Black leather but they can get them in any color that the CX-5 is offered in the UK (cloth or leather). Just look at the options on the UK Mazda site. I remember the 'white' leather was an option.
I wanted to wait and see how things went before I posted. They just arrived today and fit perfectly.
Be sure to tell him Michael H from the USA referred you when you contact him so he will know exactly what is going on.
PM if you want his direct contact info.
M
And now the legal disclaimer:
This posting is for entertainment purposes only and one should never alter the safety devices on their Mazda. If you choose do do what I did I will not be held responsible for any injury.