I believe that $\frac{\pi}{\sqrt{2}}$ is transcendental but I'm not sure about how to prove it. If $\frac{\pi}{\sqrt{2}}$ was algebraic, there would exist a polynomial $P \in \mathbb{Q}[X]$ such that $P\big( \frac{\pi}{\sqrt{2}} \big) = 0$. By writing $P = \displaystyle \sum_{k=0}^{N} a_{k}X^{k}$, we have :
$$ \sum_{\substack{\text{k even} \\[1mm] k = 2p}} a_{2p} \frac{\pi^{2p}}{2^{p}} + \frac{\pi}{\sqrt{2}} \sum_{\substack{\text{k odd} \\[1mm] k = 2p+1}} a_{2p+1} \frac{\pi^{2p}}{2^p} = 0. $$
But I'm not sure that helps..
Suppose $\dfrac{\pi}{\sqrt{2}}$ were algebraic. Then $\left(\dfrac{\pi}{\sqrt{2}}\right)^2=\dfrac{\pi^2}{2}$ would be algebraic, but this would mean $\pi^2$ is algebraic, which is a contradiction since $\pi$ is transcendental.