What I think that you are hoping for is what is known as a right of rescission of the contract you have entered in to with the gym.  That right can occur by Federal Law as with a mortgage or loan, or it can be given through state legislation as well.  It can also be a matter of law when a "principle" of law has been violated as when a contract is entered in to under duress.  But it is not necessarily an absolute right and the right to enter in to a contract and to hold parties to their word is one that the courts seek to uphold.  The fact that the contract does not actually start for a month may or may not have any bearing but I would bring it in to an attorney to read and to review with you your rights thereunder and under state law.