You can try to get the new Destination Thailand Visa (DTV) based on sports. For gyms: no idea 😛
But as
@ ***********
z mentioned: many parks have an outdoor (cost free) training facility.
You have to check if they have the stuff you prefer. I like the King Rama IX park more.
Outdoor training facilities you find at many random places, often hidden behind just some trees in a small village.
Every bigger park has them.