Edit3: Added a ComplexContourPlot of level curves over radial branch region. See below
With these problems I find it helpful to draw the function in its entirety then decide how to cut out an analytically-continuous single-valued section of it. Unfortunately in this case it's a little difficult to do this with the built-in functions as they rely on default branch-cuts which cause imperfections of the plots when done so globally but we can plot around the cut to remedy this. First identify the default branch-cut of the function. I'll use $\theta=\pi/4$:
f[z_, a_] := Sqrt[(z - a) (z + Conjugate[a])]
theta = Pi/4;
Reduce[Arg[(z - Exp[I theta]) (z + Exp[-I theta])] == Pi, z]
(* (-(1/Sqrt[2]) < Re[z] < 0 && Im[z] == 1/Sqrt[2]) ||
Re[z] == 0 || (0 < Re[z] < 1/Sqrt[2] && Im[z] == 1/Sqrt[2]) *)
That's basically a line in the z-plane from the point $(-1/\sqrt{2},1/\sqrt{2})$ to $(1/\sqrt{2},1/\sqrt{2})$. Now we can use Plot3D
to plot around this line and thereby never incurring the default branch-cut (little messy but if you take your time and study the plots you'll understand it). Below I plot 16 color-coded sections of the function Im[f] to make it easier to see the surfaces.
sa = Plot3D[
Im@f[z, Exp[I theta]] /. z -> x + I y, {x, 1/Sqrt[2], 2}, {y,
1/Sqrt[2], 2}, PlotStyle -> Darker@Yellow];
sb = Plot3D[
Im@f[z, Exp[I theta]] /. z -> x + I y, {x, 0, 1/Sqrt[2]}, {y,
1/Sqrt[2], 2}, PlotStyle -> Orange];
sc = Plot3D[-Im@f[z, Exp[I theta]] /. z -> x + I y, {x, -1/Sqrt[2],
0}, {y, 1/Sqrt[2], 2}, PlotStyle -> Red];
sd = Plot3D[-Im@f[z, Exp[I theta]] /.
z -> x + I y, {x, -2, -1/Sqrt[2]}, {y, 1/Sqrt[2], 2},
PlotStyle -> Green];
se = Plot3D[-Im@f[z, Exp[I theta]] /.
z -> x + I y, {x, -2, -1/Sqrt[2]}, {y, -2, 1/Sqrt[2]},
PlotStyle -> Yellow];
sf = Plot3D[-Im@f[z, Exp[I theta]] /. z -> x + I y, {x, -1/Sqrt[2],
0}, {y, -2, 1/Sqrt[2]}, PlotStyle -> Purple];
sg = Plot3D[
Im@f[z, Exp[I theta]] /. z -> x + I y, {x, 0, 1/Sqrt[2]}, {y, -2,
1/Sqrt[2]}, PlotStyle -> Magenta];
sh = Plot3D[
Im@f[z, Exp[I theta]] /. z -> x + I y, {x, 1/Sqrt[2], 2}, {y, -2,
1/Sqrt[2]}, PlotStyle -> Brown];
sa2 = Plot3D[-Im@f[z, Exp[I theta]] /. z -> x + I y, {x, 1/Sqrt[2],
2}, {y, 1/Sqrt[2], 2}, PlotStyle -> Darker@Yellow];
sb2 = Plot3D[-Im@f[z, Exp[I theta]] /. z -> x + I y, {x, 0,
1/Sqrt[2]}, {y, 1/Sqrt[2], 2}, PlotStyle -> Orange];
sc2 = Plot3D[
Im@f[z, Exp[I theta]] /. z -> x + I y, {x, -1/Sqrt[2], 0}, {y,
1/Sqrt[2], 2}, PlotStyle -> Red];
sd2 = Plot3D[
Im@f[z, Exp[I theta]] /. z -> x + I y, {x, -2, -1/Sqrt[2]}, {y,
1/Sqrt[2], 2}, PlotStyle -> Green];
se2 = Plot3D[
Im@f[z, Exp[I theta]] /. z -> x + I y, {x, -2, -1/Sqrt[2]}, {y, -2,
1/Sqrt[2]}, PlotStyle -> Yellow];
sf2 = Plot3D[
Im@f[z, Exp[I theta]] /. z -> x + I y, {x, -1/Sqrt[2], 0}, {y, -2,
1/Sqrt[2]}, PlotStyle -> Purple];
sg2 = Plot3D[-Im@f[z, Exp[I theta]] /. z -> x + I y, {x, 0,
1/Sqrt[2]}, {y, -2, 1/Sqrt[2]}, PlotStyle -> Magenta];
sh2 = Plot3D[-Im@f[z, Exp[I theta]] /. z -> x + I y, {x, 1/Sqrt[2],
2}, {y, -2, 1/Sqrt[2]}, PlotStyle -> Brown];
multiBranchPlot=Show[{sa, sb, sc, sd, se, sf, sg, sh, sa2, sb2, sc2, sd2, se2, sf2,
sg2, sh2}, PlotRange -> 2, BoxRatios -> {1, 1, 1},
PlotLabel -> Style["Im(f)", 16, Bold, Black]]

Now it's easy to plot a single-valued section of the function with branch-cut for example $(-1/\sqrt{2},1/\sqrt{2})$:

Or a single-valued section with branch cuts $(-\infty,-1/\sqrt{2})\bigcup (1/\sqrt{2},\infty)$:

And here is one of two (analytically-continuous, single-valued) branches described by OP in the region $(\pi-\theta,\theta)$:
theColor = Darker@Blue;
pp1 = ParametricPlot3D[{Re@z, Im@z, Im@f[z, Exp[I theta]]} /.
z -> r Exp[I t], {r, 0, 2}, {t, theta, Pi/2},
RegionFunction -> Function[{x, y, z}, y > 1/Sqrt[2] + 0.005],
PlotPoints -> 100, PlotStyle -> theColor];
pp2 = ParametricPlot3D[{Re@z, Im@z, -Im@f[z, Exp[I theta]]} /.
z -> r Exp[I t], {r, 0, 2}, {t, theta, Pi/2},
RegionFunction -> Function[{x, y, z}, y < 1/Sqrt[2] - 0.005],
PlotPoints -> 100, PlotStyle -> theColor];
pp3 = ParametricPlot3D[{Re@z, Im@z, -Im@f[z, Exp[I theta]]} /.
z -> r Exp[I t], {r, 0, 2}, {t, Pi/2, Pi - theta},
RegionFunction -> Function[{x, y, z}, y > 1/Sqrt[2] + 0.005],
PlotPoints -> 100, PlotStyle -> theColor];
pp4 = ParametricPlot3D[{Re@z, Im@z, Im@f[z, Exp[I theta]]} /.
z -> r Exp[I t], {r, 0, 2}, {t, Pi/2, Pi - theta},
RegionFunction -> Function[{x, y, z}, y < 1/Sqrt[2] - 0.005],
PlotPoints -> 100, PlotStyle -> theColor];
radialBranch =
Show[{pp1, pp2, pp3, pp4}, PlotRange -> 2, BoxRatios -> {1, 1, 1}]
comboPlot =
Show[{radialBranch, multiBranchPlot, radialPlot},
PlotLabel -> Style["Im(f) with radial branch", 16, Black, Bold]]

Edit 3: Level curve plot over radial branch defined by sector $e^{it}, \theta<t<\pi-\theta$:
This is the code to generate level-curves over the sector branch I described below. Have to use `ComplexContourPlot over the appropriate regions to assure continuity of the level curves. The two black diagonal lines are the branch cuts of the indicated branch, red points are the singular points. Note the branch cuts do not make contact with singular points but only appear so in the plot.
line1G = Graphics@Line[{{0, 0}, ReIm@(-2 + 2 I)}];
line2G = Graphics@Line[{{0, 0}, ReIm@(2 + 2 I)}];
s1G = Graphics@{PointSize[0.025], Red, Point@{-1/Sqrt[2], 1/Sqrt[2]}};
s2G = Graphics@{PointSize[0.025], Red, Point@{1/Sqrt[2], 1/Sqrt[2]}};
ccpTable = Table[
ccp1 =
ComplexContourPlot[
Im@f[z, Exp[I theta]] == levelVal, {z, 0, 2 + 2 I}];
ccp2 =
ComplexContourPlot[-Im@f[z, Exp[I theta]] == levelVal, {z, -2,
2 I}];
{ccp1, ccp2},
{levelVal, 1/10, 15/10, 1/10}
];
ccpTable2 = Table[
ccp1 =
ComplexContourPlot[
Im@f[z, Exp[I theta]] == levelVal, {z, 0, 2 + 2 I}];
ccp2 =
ComplexContourPlot[-Im@f[z, Exp[I theta]] == levelVal, {z, -2,
2 I}];
{ccp1, ccp2},
{levelVal, -15/10, -1/10, 1/10}
];
Show[{ccpTable, line1G, line2G, s1G, s2G, ccpTable2}, PlotRange -> 2,
PlotLabel -> Style["Level curves on Im(f)", 16, Bold, Black]]
