First let's consider the general problem of determining for a finite group $G$ the smallest $n\in\mathbb N_0$ such that $G$ embedds into $S_n$. This is equivalent to asking what is the smallest possible cardinality of a set on which $G$ acts faithfuly. We know from Cayley's theorem that $n=|G|$ is possible, but this is in general far from optimal.
So let $G$ act faithfuly on a finite set $X$ and let $x_1,\ldots,x_k\in X$ be representatives of the orbits of this action. Then by the orbit-stabilizer theorem it's
$$|X|=\sum_{i=1}^k|G\cdot x_i|=\sum_{i=1}^k[G:G_{x_i}].$$
Every $x\in X$ is of the form $x=gx_i$ for some $g\in G$ and $i\in\{1,\ldots,k\}$ and stabilizers of elements in the same orbit are conjugated since $G_{gx}=gG_xg^{-1}$. Then the condition that the action is faithful means that
$$\bigcap_{x\in X}G_x=\bigcap_{i=1}^k\bigcap_{g\in G}gG_{x_i}g^{-1}=1.$$
OTOH, let $k\in\mathbb N_0$ and $H_1,\ldots,H_k\le G$ such that
$$\bigcap_{i=1}^k\bigcap_{g\in G}gH_ig^{-1}=1.$$
The the action of $G$ on the disjoint union $\bigsqcup_{i=1}^kG/H_i$ by left multiplication is faithful and
$$\left|\bigsqcup_{i=1}^kG/H_i\right|=\sum_{i=1}^k[G:H_i].$$
It follows that the smallest possible value of $n$ is
$$n=\min\left(\sum_{i=1}^k[G:H_i]:k\in\mathbb N_0;H_1,\ldots,H_k\le G;\bigcap_{i=1}^k\bigcap_{g\in G}gH_ig^{-1}=1\right)$$
(it's $k\in\mathbb N_0$ because for $G=1$ it's possible to take $k=0$ since the trivial group acts faithfuly on the empty set, but for non-trivial $G$ it's $k\in\mathbb N$).
Equipped with that, we can look at $G=\mathrm{GL}_2(\mathbb F_5)$. We have $Z(\mathrm{GL}_2(\mathbb F_5))=\mathbb F_5^\times\cdot I$, and we'll need the following lemma.
Lemma: Let $H\le\mathrm{GL}_2(\mathbb F_5)$ such that $H\cap\mathbb F_5^\times\cdot I=I$. Then $|H|\le20$.
Proof: The condition $H\cap\mathbb F_5^\times\cdot I=I$ implies that the composition $H\to\mathrm{GL}_2(\mathbb F_5)\to\mathrm{PGL}_2(\mathbb F_5)$ is injective. It's well known that $\mathrm{PGL}_2(\mathbb F_5)\cong S_5$, thus $H$ embedds into $S_5$. If it was $|H|>20$ then $[S_5:H]\le5$, and thus $H$ is isomorphic to $S_4$, $A_5$ or $S_5$ (see green keeper’s post [url=https://artofproblemsolving.com/community/c7h2675661]here[/url]). If $H\cong A_5$ or $H\cong S_5$ then $H$ contains $(5-1)!=24$ elements of order $5$. It's easy to see that every element of $\mathrm{GL}_2(\mathbb F_5)$ of order $5$ is conjugated to $T=\begin{pmatrix}1&1\\0&1\end{pmatrix}$ and that $|C_{\mathrm{GL}_2(\mathbb F_5)}(T)|=20$ (using the fact that $T$ is non-derogatory) and so $\mathrm{GL}_2(\mathbb F_5)$ has $[\mathrm{GL}_2(\mathbb F_5):C_{\mathrm{GL}_2(\mathbb F_5)}(T)]=480/20=24$ elements. Thus $H$ must contain all of them, in particular $T,T^T\in H$. But it's $(T^{-1}T^TT^{-1})^2=-I$ or alternatively $(T^{-1}T^T)^3=-I$, so $-I\in H$, contradicting $H\cap\mathbb F_5^\times\cdot I=I$ (in fact it's $\langle T,T^T\rangle=\mathrm{SL}_2(\mathbb F_5)$ since the same is true over $\mathbb Z$ and the reduction map $\mathrm{SL}_2(\mathbb Z)\to\mathrm{SL}_2(\mathbb F_5)$ is surjective). If $H\cong S_4$ then the conditions $H\cap\mathbb F_5^\times\cdot I=I$ and $\mathbb F_5^\times\cdot I\subseteq Z(\mathrm{GL}_2(\mathbb F_5))$ imply $\langle H,\mathbb F_5^\times\cdot I \rangle\cong H\times\mathbb F_5^\times\cdot I\cong S_4\times Z/4$. Since $D_4<S_4$, if follows that $D_4\times Z/4$ embedds into $\mathrm{GL}_2(\mathbb F_5)$. But it's $v_2(| D_4\times Z/4|)=5=v_2(|\mathrm{GL}_2(\mathbb F_5)|)$, so $D_4\times Z/4$ would be a $2$-Sylow subgroup of $\mathrm{GL}_2(\mathbb F_5)$, but that's false since $\mathrm{GL}_2(\mathbb F_5)$ contains an element of order $24$ (as discussed above) and hence also of order $8$.
Now let $k\in\mathbb N$ and $H_1,\ldots,H_k\le\mathrm{GL}_2(\mathbb F_5)$ such that
$$\bigcap_{i=1}^k\bigcap_{g\in\mathrm{GL}_2(\mathbb F_5)}gH_ig^{-1}=1.$$
Then there exist $g\in\mathrm{GL}_2(\mathbb F_5)$ and $j\in\{1,\ldots,k\}$ such that $-I\notin gH_jg^{-1}$. Since $-I\in Z(\mathrm{GL}_2(\mathbb F_5))$, this means $-I\notin H_j$. This implies $H_j\cap\mathbb F_5^\times\cdot I=I$ (because $\pm I$ is the unique minimal subgroup of $\mathbb F_5^\times\cdot I$), and so by the lemma we have
$$\sum_{i=1}^k[G:H_i]\ge[G:H_j]\ge\frac{480}{20}=24.$$
OTOH, it's trivial to see that the value $n=24$ is attainable.The canonical action of $\mathrm{GL}_2(\mathbb F_5)$ on the vector space $\mathbb F_5^2$ is faithful and $(0,0)^T$ is obviously fixed by it, so $\mathrm{GL}_2(\mathbb F_5)$ acts faithfully on $\mathbb F_5^2\setminus\{(0,0)^T\}$ and $|\mathbb F_5^2\setminus\{(0,0)^T\}|=5^2-1=24$.