A “generic” Haynes or Chilton repair manual for Mazdas of that era will probably suffice for most parts of that Millenia. However, the “S” type Millenia is unique in that it has a Miller Cycle engine, which is…let’s just say…unorthodox in many ways. To the best of my knowledge, no other production cars were ever equipped with a Miller Cycle engine!
Because of the uniqueness of that engine, I would suggest trying to get the Genuine Mazda factory service manual. Perhaps you can find one on e-bay.