Does it only happen at this specific gym? Have you tried moving to a different area of the gym? Does the gym have WiFi in the area that may disrupt Bluetooth? Does it happen elsewhere? Have you tried basic troubleshoot like to "Forget This Device" and re-pair it?
So I have used it for a few days now at the gym and the skipping has gotten much better, I find it happens when someone with AirPods or wireless headphones are working out beside me or passing by me ,