My gym is in a converted warehouse. Probably 30' ceiling at least, so it's mostly open air. Lots of fans and HVAC so the air is constantly moving. It was closed from March - June of 2020. Reopened in late June with masking and social distancing as per local rules. There was an exception to the masking rule "while exercising" so basically nobody wore a mask in the gym. I returned to my every other day habit, my workout takes about 90 minutes and then I sit in the sauna for 20 minutes and then shower.
I'm not aware of any local cases linked specifically to gyms, so it seemed to work out fine.