Ferromagnetic Ni-Mn-Ga alloys undergo a martensitic phase transition with little hysteresis, which enables the material to exhibit the shape memory effect. The large interest in applications arising from the large magnetic-field-induced strain in the material has led to intensive research about the microscopic origins of its structural phase transition. The martensitic lattice modulation has recently been described as an adaptive phase, constructed by micro-twinning of tetragonal martensitic unit cells. In contrast, a harmonic modulation and a Charge Density Wave (CDW) ground state were proposed, supported by the observation of phonon anomalies in the austenite phase, the opening of a pseudogap and collective excitations. Here we present ultrafast pump-probe measurements, which are sensitive to both zone-folded acoustic modes in a superstructure and collective excitations in strongly correlated systems. We observe a mode at THz frequency in the martensite phase, which is strongly influenced by temperature and by the doping with cobalt, implying a strong electron-phonon coupling.