Partial answer: Here are proofs of OP's conjecture for $a=2$ and $a=3$.
Notation
- I change OP's $a$ to $n$.
- I change OP's $x,y,z$ to $a,b,c$.
An equivalent statement of OP's conjecture
We relax OP's requirement that $a\le b\le c$.
If $b=\max(a,b,c)$, then $P\left(\dfrac{a^n+c^n}{b^n}<\dfrac{a+c}{b}\right)=1$.
If $b=\min(a,b,c)$, then $P\left(\dfrac{a^n+c^n}{b^n}<\dfrac{a+c}{b}\right)=0$.
This is because
$$P\left(\dfrac{a^n+c^n}{b^n}<\dfrac{a+c}{b}\right)=P\left(a^n+c^n<b^{n-1}(a+c)\right)=P\left(a\color{red}{\left(a^{n-1}-b^{n-1}\right)}+c\color{red}{\left(c^{n-1}-b^{n-1}\right)}<0\right).$$
Now let $P_n=P\left(\dfrac{a^n+c^n}{b^n}<\dfrac{a+c}{b}\right)$ where the sides are $a,b,c$ in random order (not necessarily $a
\le b\le c$).
So OP's conjecture is equivalent to:
$$P_n=\frac13\left(1+\frac1n+0\right)=\frac{n+1}{3n}$$
The case $n=2$
Assume that the circle is centred at the origin, and the vertices of the triangle are:
- $A\space(\cos(-2Y),\sin(-2Y))$ where $Y$ is uniformly random in $0\le Y\le\pi$
- $B\space(1,0)$
- $C\space(\cos(2X),\sin(2X))$ where $X$ is uniformly random in $0\le X\le\pi$
Let:
- $a=BC=2\sin X$
- $b=AC=\left|2\sin\left(\frac{2\pi-2X-2Y}{2}\right)\right|=|2\sin(X+Y)|$
- $c=AB=2\sin Y$
We consider the case $n=2$.
$$P_2=P\left[\frac{a^2+c^2}{b^2}<\frac{a+c}{b}\right]$$
$$=P\left[\frac{\sin^2X+\sin^2Y}{\sin^2(X+Y)}<\frac{\sin X+\sin Y}{|\sin(X+Y)|}\right]$$
$P_2$ is the ratio of the area of the shaded region to the area of the square in the graph below.

Rotate these regions $45^\circ$ clockwise about the origin and then shrink them by a factor of $\frac{1}{\sqrt2}$, by letting $X=x-y$ and $Y=x+y$.

Using symmetry, we only need to consider the left half of the blue "diamond". Note that in the left half, $0<x<\pi/2$, so $|\sin(2x)|=\sin(2x)$.
$$P_2=P\left[\frac{\sin^2(x-y)+\sin^2(x+y)}{\sin^2 2x}<\frac{\sin(x-y)+\sin(x+y)}{\sin 2x}\right]$$
$$=P\left[\frac{\left(\left(\sin x\right)\left(\cos y\right)-\left(\cos x\right)\left(\sin y\right)\right)^{2}+\left(\left(\sin x\right)\left(\cos y\right)+\left(\cos x\right)\left(\sin y\right)\right)^{2}}{2\left(\sin x\right)\left(\cos x\right)}<2\left(\sin x\right)\left(\cos y\right)\right]$$
$$=P\left[\left(\sin^{2}x-\cos^{2}x\right)\left(\cos^{2}y\right)-2\left(\sin^{2}x\right)\left(\cos x\right)\left(\cos y\right)+\cos^{2}x<0\right]$$
Noting the quadratic expression in $\cos y$, the upper-right boundary of the left half of the shaded region simplifies to
$$y=\color{red}{\arccos\left(-\frac{\cos x}{\cos 2x}\right)}$$
which intersects the $x$-axis at $x=\pi/3$.
Therefore
$$P_2=\frac{\frac12\left(\frac{\pi}{2}\right)^2-J}{\frac12\left(\frac{\pi}{2}\right)^2}$$
where
$$J=\int_{\pi/3}^{\pi/2}\color{red}{\arccos\left(-\frac{\cos x}{\cos 2x}\right)}dx\overset{x\to\frac{\pi}{2}-x}{=}\int_0^{\pi/6}\arccos\left(\frac{\sin x}{\cos 2x}\right)dx.$$
Wolfram suggests that $J=\dfrac{\pi^2}{16}$, but I do not know how to prove this. EDIT: This has now been proven, here.
Therefore $P_2=1/2$, confirming the equivalent statment of OP's conjecture for $n=2$.
(This is another example of a probability question that has answer $1/2$ but resists intuitive explanation.)
The case $n=3$
Using the same method as in $n=2$, we get
$$P_3=P\left[\frac{a^3+c^3}{b^3}<\frac{a+c}{b}\right]$$
$$=P\left[\frac{\sin^3X+\sin^3Y}{\sin^3(X+Y)}<\frac{\sin X+\sin Y}{|\sin(X+Y)|}\right]$$
$$=P\left[\frac{\sin^3(x-y)+\sin^3(x+y)}{\sin^3 2x}<\frac{\sin(x-y)+\sin(x+y)}{\sin 2x}\right]$$
$$=P\left[\left(\cos y\right)^{2}\color{red}{\left(\sin^2x-\frac34\right)}<\left(\cos x\right)^{2}\color{red}{\left(\sin^2x-\frac34\right)}\right]$$

$$P_3=\frac{\left(\frac{\pi}{3}\right)^2}{\left(\frac{\pi}{2}\right)^2}=\frac49$$
This confirms the equivalent statement of OP's conjecture for $n=3$.
Other $n$ values
For $n=4$, I could not obtain an integral expression like I did for $n=2,3$.
For $n=5$, OP's conjecture is true if:
$$\int_{0}^{1}\frac{1}{\sqrt{-x^{2}-2x+15}}\arccos\sqrt{\frac{x^{3}+7x^{2}-25x-15}{8x^{2}-40}}dx=\frac{\pi^{2}}{10}-\left(\arcsin\sqrt{\frac{5}{8}}\right)^{2}$$
Wolfram suggests that this is true. EDIT: It must be true, because @Thinh Dinh's answer proves the general case.
For $n>5$, I suspect it is very difficult to obtain integral expressions like I did for $n=2,3,5$.