To an onlooker: "Well, we're really not close at all, not like she says. I'm not really sure where she gets that from. And the comments about my husband at the gym? She makes those every time we see her, and frankly, after about the third time, it started to almost sound a little stalker-ish. KWIM?"
Although I have to admit, the thought of pre-empting her little ritual would be kind of fun, but I suppose it could be kind of rude, huh? "Oh, hi Bessie. Yes, I know, you've probably seen my husband at the gym, and you have a crush on him." Say it in a bored tone, and then turn back to the person you had been talking to.
OP, I don't remember as I'm typing this. How long has this been going on?
If you ever talk with her one on one, does she bring up your DH and the gym? If she does, could you say something like, "So you've said. You know, Bessie, you mention that fact pretty much whenever I see you. And since it sounds like you're essentially ogling my husband while he's working out, it's getting a little creepy to hear that so much. How 'bout we just talk about the weather?"