Bring out the statistics and appeal to the power of the bottom line. And they trim health and medical expenses as well. Contact the Wellness Councils of America and the Association for Worksite Health Promotion for more statistics. Go for a group membership. If an on-site gym isn't going to happen, ask if the company will seek a corporate rate at a local gym.
Many clubs have deals that waive initial joining fees for groups, and have lower monthly rates.
Or try to lobby for health club reimbursement as part of your benefits package. Some companies will pay a fixed amount per year toward such healthy endeavors, wherever you choose to do them. If all else fails, order take-in. You don't need a gym to have an instructor come to the office a few days a week. Talk to your HR department about reserving a conference room for a fitness class, such as noontime yoga or weight training.