Here is my solution:
Since $A\cap R=\varnothing$, for each $\left(x,y\right)\in A$ it
holds that $y>0$, and therefore $\left(x,y\right)\in B_{\frac{y}{3}}\left(\left(x,y\right)\right)\subseteq H$.
Denote $W:=\bigcup_{\left(x,y\right)\in A}B_{\frac{y}{3}}\left(\left(x,y\right)\right)\subseteq H$,
so $W$ is open in $H$.
Since $A$ is closed in $H$, it follows from $H$'s normality (as a subspace of a
metric space) that there exists an open set $U$ ($U$ is open in $H$,
but since $H$ is open in $M$, $U$ is also open in $M$) such that
$A\subseteq U\subseteq cl_{H}\left(U\right)\subseteq W$. We claim
that $cl_{M}\left(W\right)\subseteq H$, and therefore $cl_{M}\left(U\right)\subseteq cl_{M}\left(W\right)\subseteq H$
(as $U\subseteq W$ implies that $cl_{M}\left(U\right)\subseteq cl_{M}\left(W\right)$).
Assume towards a contradiction that $cl_{M}\left(W\right)\cap R\neq\varnothing,$
so there exists $\left(x,0\right)\in R$ such that every open neighborhood
of $\left(x,0\right)$ intersects with $W$. We will show that for
each $\varepsilon>0$, $A\cap\left[B_{\varepsilon}\left(\left(x,\varepsilon\right)\right)\cup\left(x,0\right)\right]\neq\varnothing,$
implying that $\left(x,0\right)\in cl_{M}\left(A\right)$, contrary
to the fact that $cl_{M}\left(A\right)=A$ (as $A$ is closed in $M$)
and $A\cap R=\varnothing.$
Let $\varepsilon>0$, by the definition of a closure, there exists some
$\left(x',y'\right)\in W\cap\left[B_{\frac{\varepsilon}{2}}\left(\left(x,\frac{\varepsilon}{2}\right)\right)\cup\left(x,0\right)\right]$,
and from $W$'s definition it follows that there exists $\left(x'',y''\right)\in A$
such that $d\left(\left(x',y'\right),\left(x'',y''\right)\right)<\frac{y'}{2}$.
Note that since $\left(x',y'\right)\in B_{\frac{\varepsilon}{2}}\left(\left(x,\frac{\varepsilon}{2}\right)\right)$,
it holds that $\left(x'-x\right)^{2}+\left(y'-\frac{\varepsilon}{2}\right)^{2}<\left(\frac{\varepsilon}{2}\right)^{2}$
and $y'<\varepsilon$.
Now:
$d\left(\left(x,\varepsilon\right),\left(x'',y''\right)\right)\leq d\left(\left(x,\varepsilon\right),\left(x',y'\right)\right)+d\left(\left(x',y'\right),\left(x'',y''\right)\right)<\sqrt{\left(x'-x\right)^{2}+\left(y'-\varepsilon\right)^{2}}+\frac{y'}{2}=\sqrt{\left(x'-x\right)^{2}+\left(y'-\frac{\varepsilon}{2}\right)^{2}+\frac{3\varepsilon^{2}}{4}-\varepsilon y'}+\frac{y'}{2}<\sqrt{\varepsilon^{2}-\varepsilon y'}+\frac{y'}{2}\stackrel{\left(\star\right)}{\leq}\varepsilon
$
$\left(\star\right)$ holds because $\sqrt{\varepsilon^{2}-\varepsilon y'}+\frac{y'}{2}\leq\varepsilon$
iff $\sqrt{\varepsilon^{2}-\varepsilon y'}\leq\varepsilon-\frac{y'}{2}$
iff $\varepsilon^{2}-\varepsilon y'\leq\varepsilon^{2}-\varepsilon y'+\left(\frac{y'}{2}\right)^{2}$iff
$0\leq\left(\frac{y'}{2}\right)^{2}$ which is always true.
Hence $\left(x'',y''\right)\in B_{\varepsilon}\left(\left(x,\varepsilon\right)\right)\cup\left(x,0\right)$,
which implies that $\left(x,0\right)\in cl_{M}\left(A\right)$, a
contradiction (as explained above). It follows that $cl_{M}\left(W\right)\cap R=\varnothing$, which implies that $cl_{M}\left(U\right)\subseteq H$ . Therefore, $U$ and $M\backslash cl_{M}\left(U\right)$ are both open in $M$
and separate $A$ and $R$.