You want to show
$$
\frac{2ab}{a+b}<\sqrt{\frac{a^2+b^2}{2}}\tag1
$$
You know that if $a\ne b$,
$$
2ab\lt a^2+b^2\tag2
$$
Take reciprocals
$$
\frac1{2ab}\gt\frac1{a^2+b^2}\tag3
$$
Multiply by $2a^2b^2$
$$
ab\gt\frac{2a^2b^2}{a^2+b^2}\tag4
$$
Substitute $a\mapsto\sqrt{a}$ and $b\mapsto\sqrt{b}$
$$
\sqrt{ab}\gt\frac{2ab}{a+b}\tag5
$$
Divide $(2)$ by $2$ and take square roots
$$
\sqrt{ab}\lt\sqrt{\frac{a^2+b^2}2}\tag6
$$
Putting $(5)$ and $(6)$ together gives
$$
\frac{2ab}{a+b}\lt\sqrt{ab}\lt\sqrt{\frac{a^2+b^2}2}\tag7