You might just have to post your save file (save menu -> save to disk) so I can take a look. Only other thing I can recommend trying is sleeping once and check the goal , as you might be at the point of the story event that is started from your room rather than the gym.I second this. After I see Lydia for the first time, the gym only shows me 2 options: Head Home or Stay in Town. I have not actually spoken to Lydia or unlocked anything from her. It just happened after I saw Lydia the first time.