Unfortunately, there is no way to make a submicron Mg powder. Magnesium has such a great affinity for oxygen that such a powder becomes oxide even in the best technical vacuum.
As already pointed out, Mg will react with oxygen in the air (often in a pyrophoric manner) to produce MgO. In water Mg(OH)2 is the product. Only in an inert gas stream will sub-micron particles of Mg exist. Once brought together on surfaces or as particle-particle contact then solid-solid diffusion will result in a fused mass of sub- and post-micron aggregates and agglomerates. See:
November 3rd, 2015 Adhesion and cohesion http://tinyurl.com/zwb2wlh