Well, that explains it. For me Cerulean City doesn't show that it has a gym. None of the map icons will allow me to select them to travel to. I have to click somewhere else and try to use that to get back to route 4. I think I will do a fresh install except for my saves, and see if that fixes it.Gym in the Cerulean City.
Edit: It did. Though when you are in Cerulean City, and choose Leave, it doesn't mark any location as red so you can move to it. I have to move my cursor to the right of the town and wait until I see Route 4, then click there so I can get back.