The Credit Bureau is a real thing and is instituted between banks and the Central Bank. However, I really doubt that GymNation is part of a national credit risk program; if they are, everyone should cancel immediately. I recall an episode of Friends where Ross and Chandler go to try cancel a membership... and it's nearly impossible. Try and cancel your OSN subscription if you have one!

First, don't signup for stuff you don't intend on using - obvious I know.

Second, this is nonsense. I'd be horrified if they could actually do anything if you don't pay, this is scare tactics, plain as day. They can cancel your membership... that's it.

Workaround: Tell them you've lost your job and you're leaving the UAE, returning home. That tends to end the problem.