A guy who I rented a flat from last year in Palermo Hollywood recommended Megatlon (there is one in Las Canitas at Migueletes 1023) and the other at Arenales 3370. He said he thought they had short-term passes, but didn't know the prices. There's also Sports Club Palermo at Jose Antonio Cabrera 4848 that you may want to investigate.

I was too busy and ended up achieving my daily exercise goal by incessant walking through the city, but please let us know what you find out. I'd be interested to know for my next visit.