It’s a loss. Don’t give her anymore attention. Stop following her. If you want to view her stories, use a burner. Don’t talk to anymore girls at the gym. And what is with asking women for their social media? Either ask for her number, or nothing.
A better approach is to smile, have casual conversation, then after a few weeks ask for her number, or suggest drinks, coffee. That gives her a sense of your energy, and she may be more receptive. But not this girl. Don’t give her attention, and don’t continue to give her another follower, which is what she wanted.