MSI Bazooka does support the Ryzen 5 5600g processor starting with BIOS Version 7C95vA7.zip (06/29/2021): https://www.msi.com/Motherboard/support/MAG-B550M-BAZOOKA#support-main-block-qvl
If your MSI Bazooka Motherboard was manufactured after 07/2021 then the 5600g should work out of the box.
BUT I just looked at the Motherboard's Specs and that Motherboard has the BIOS FLASHBACK feature which means you don't need to have a CPU installed to upgrade the BIOS version to the correct version. All you need is a Flash Drive with the correct BIOS burned into it. Then you connect the Flash drive to the special BIOS USB Port and hit the BIOS FLASHBACK button with just power on. It will automatically update your BIOS without a CPU installed.
Here are the BIOS FLASHBACK Instructions from your MSI Motherboard Manual:
If you purchase that AMD Processor don't forget to purchase the correct RAM MEMORY from the Motherboard's QVL LIST for RAM MEMORY for the 5000 Series APU Processors: