Explain to them that you do not feel comfortable being forced to be exposed to the pornography of hate that F*X "news" broadcasts, and if they value your continued business they should refrain from showing pornography of this type on the business property. You could explain that the presence of morally offensive media destroys the comfortable atmosphere that you require to be able to acheive your physical fitness goals.
Many hospital and clinic waiting areas are tuned to F*X "news"- I always inform the employee at the desk that I came to the clinic to fight cancer, not to be insulted by partisan politically-motivated bloviations and hyperbole. If I think the restaurant or medical facility employee is going to ignore my request to change the channel, I generally manually turn the whole TV off- I get lot's of dirty looks but I dont care: F*X "news" is destroying our country and our future by attempting to disentegrate common American cohesion. It's easier to attack large demographic groups if they can be divided into smaller parts or groups. I'm sure that your service contract includes language garaunteeing a comfortable and non-harrassing work-out atmosphere. Breaking the contract shouldnt be that hard if they refuse to supply a comfortable, non harrassing environment that makes it possible to acheive you fitness goals- that the gym claims to be interested in helping you to acheive. Fuck any business that has F*X "news" tuned in to customer TVs. Mostly, I give them one warning, then they lose my business if they act put-out or just plain shitty about it. I love going into restaurants with F*x "News" on the tv, ordering a big, expensive meal and waiting until the food is being brought out to the table before I leave- I always make sure to inform them that their choice for F*X "news" in the dining area cost the resaurant all the food and money- and any future business they could have earned from me is gone- and I always get the most expensive menu items too.
Fuck Rupert Murdoch and the monster that gave birth to him.