A gym is private or semi-public property. They can not take video footage of you for the purpose of promoting their business without your consent. They must also obtain permission and signed photography/film releases for every person who appears in the room (including anyone who is in the background).
In most jurisdictions in North America, even places with security cameras have to let you know if there are security cameras (like stores and shopping malls), and in places where there are more rigid privacy laws, they need to be able to tell you exactly how that footage is collected, stored, used, and destroyed if you were to ask. A restaurant, bar, gym, or store would be considered private property enough that they need your permission to film prior to filming.
They absolutely can not use your likeness for promotional or commercial purposes without your permission and/or proper compensation. I would absolutely follow up with the operations manager of the facility and let them know the filming was out of line and if it shows up on their YouTube channel, a cease-and-desist order would be quick to follow.
I used to work in the film industry. These are some of the reasons you need permits to film in public spaces and have to pay a lot of money to have extras for crowd scenes.