I could be blind but I have gone through the whole school and still can't find the gym
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I'll make a game guide later, but in the game options, enable "Show Clickables" and "Show Tooltips". If possible, keep the game in English, since the automatic translation may have changed the names of the options significantly.
Starting from your room, go to Dormitory Hall → Class Hall → Audiovisual Hall → Main Hall → Commons Hall → Female Shower (it's the right-hand door closest to the next hallway that leads to the Trophy Room).