I have no idea what the actual halacha is. According to my understanding the laws of tznius can be relaxed in an all-women environment. I have no idea whether there is a problem around non-Jewish men. There is probably a chumra not to even if it is halachically allowed but that is just a chumra, not necessarily halacha.
As an aside (and to open another can of wormy fish), I have a feeling that sweat pants may not be as big of a problem as short sleeves/skirts. Although frum women are noheig not to wear pants in public, I don’t think it is as big of a halachik issue as actually uncovering a part of the body that is considered erva and there might therefore be leniencies in this particular situation. (Many frum women doctors will wear scrubs at work even though it is pants).
The bigger problem would be the fact that she is doing exercise in front of men which itself is usually not very tznius no matter how tzniusly she is dressed. Therefore I think the question should be rephrased to is it OK to exercise in front of a confirmed non-Jewish man.
BTW, I see no problem with the comment of “( and verified as non jews i.e african americans)”. If an African American converts to Judaism he is probably not attending exercise with women. The poster just meant that it is obvious that the men are not Jewish. With whites there is a greater chance that the man might be an assimilated Jew and it can be hard to verify while by African Americans you can probably rely on Rov.