This will likely get merged to the PHL airport thread, but the answer to your q is yes - you can walk airside between all terminals at PHL, except F.
Your Southwest flight will be out of terminal E, so your closest club is going to be B/C which is a bit of a hike, but I've done club>>E gate in about 10-15 mins walking at a fair pace. Alternatively, if it's in the next few days, you could use the UA club in D.