Some of the Mazda's do have a CD Changer port and you can actually buy an adapter that will allow you to use that as an aux-input. However, it would require that the head unit be pulled to plug it in. If you aren't up for that, then your only alternative would be an FM Trans.
Most of the sat radio FM Transmitters are pretty weak, but there are many 3rd party FM Transmitters that are pretty decent. Since I don't use FM Transmitters I can't really make a recommendation as to which ones would be best. I know that Slacker sells an FM Trans, but how good it is I just don't know.
I don't know how old your vehicle is, but if it happens to have a cassette deck (probably not) but you can get an cassette adapter that will play the audio from the G2.