Step 1: Concept
In the second quadrant, $\cos \theta$ and $\sec \theta$ are negative.
Step 2: Analysis
$\cos^2 \theta = 1 - \sin^2 \theta = 1 - (\frac{1}{5})^2 = 1 - \frac{1}{25} = \frac{24}{25}$.
$\cos \theta = -\sqrt{\frac{24}{25}} = -\frac{2\sqrt{6}}{5}$ (negative in quadrant II).
Step 3: Calculation
$\sec \theta = \frac{1}{\cos \theta} = -\frac{5}{2\sqrt{6}}$.
Final Answer: (E)