I do not know any carrier that will in CA that will cover a gym membership. There are some carriers such as United HealthCare that will reimburse an insured for part of a gym membership based on how many times they attend.
My suggestion is to check the carrier website to see if they have any discounts or reimbursements under wellness.
My suggestion is to check the carrier website to see if they have any discounts or reimbursements under wellness.