The 2016 Owners Manual refers to audio books on pages 5-61 and 5-65. The files extensions that are supported are: .mp3, .wma, .aac, .m4a, .wav and .ogg. If your book is in one of these formats, it should work.
I don't think Mazda's (or any other OEM audio system, for that matter) can play audio books in Audible's native format. You probably can play them from a smart phone via Bluetooth or direct connection, though I have never have got my iPhone 5s to properly connect to the Mazda infotainment system via USB. If you want to play them from a memory stick (which is what I do) you'll need to convert the books to MP3. On a Mac I use a cheap little program called Audio Book Converter. I'm sure similar programs are available for Windows. I does take several hours for the conversions to take place. U.S. copyright law forbids a direct conversion from a protected format to an unprotected one, so these programs play the Audible file at high speed and rerecord it as a MP3, which I assume is legal. I don't notice any perceptible degradation in audio quality.
I for one would love to see what options are available in the 2106 CX-5! A flux capacitor perhaps... It probably writes the books for you! (Sorry, it was just too easy! )