In Linguistics, the ordinal numbers must be used before the noun to indicate position or rank in a sequential order:
>> Fifth dialogue.
The ordinal numbers are used after personal names (royalty, monarchs, popes, etc) to differentiate them from others who share their name and title. Both Roman and ordinal numbers can be used in this case:
>> Pope John Paul II or Pope John Paul 2nd.
>> John J. Brown III or John J. Brown 3rd.
In other cases, the cardinal numbers come after the noun.
That's I'd recommend in your case.:
>> Dialogue (number) five.
>> Dialogue 5.
REFERENCE: VOGEL, Suzanne; RABINOWITZ, Harold. The Manual of Scientific Style: A Guide for Authors, Editors, and Researchers. Elsevier. 2009.