He can find an old, run-down gym with rudimentary equipment (weights and the like) in the lot to the left of the Saloon (across from the hardware store). It's incredibly disused, overgrown with a mildly damaged floor, but structurally intact otherwise. Mostly, it needs a really good deep clean.

The gym being beside the white supremacist run saloon is in no way sparked by nefarious intent of any kind ;)