First, you should notify the fitness club and ask that they handle the matter with respect to their employee.  She should be fired for this type of activity.  Second, you can seek a restraining order against her.  A restraining order will prevent her from contacting you or seeing you in person.  You can obtain a restraining order at your local court and you do not need an attorney to get one, it is something you can obtain on your own.  Good luck to you.