I think sometimes people who are acting rude, creepy, or in other undesirable ways get a waiver on being called on said behavior in the name of politeness. In this instance, responding to people asking about your cooler relationship with her by saying, "She's always spoken to DH and I about how much she and others enjoy watching him work out at the gym, and we find it a bit creepy." , should be perfectly fine. Easy to say? Maybe not as much, but really, it should be said. I think that's why some people get away with acting in ways they do sometimes; everyone around them is too polite to call them on it. And maybe she really doesn't get that it's creepy and needs more than a cold shoulder and a defriending to understand it.
I wanted to add that it's not just calling such folks on the behavior, it's protecting them in the name of politeness when they needn't be protected. This lady is acting a certain way, in public; she's not whispering these things to OP and swearing her to secrecy. So stating what she does and how OP feels about it shouldn't be considered gossiping, or wrong. And I agree with prior posts in that OP and or husband should have, and now should, respond directly to such statements by her next time with, "Would you stop with that already? You're creeping us out." All of these statements can be delivered casually and with a laugh. And maybe she'll laugh back and still keep on keeping on, which is her right. But OP shouldn't feel like she can't state the facts.