For them to make those comments about you is absolutely unacceptable! I am extremely sorry to hear that. And even though they hang out with your friend, you can ask to hang out without them, they don’t have to be there every single time you want to hang out! And I would hope your friend has stood up for you and told them not to speak that way about you..
:( surrounding yourself with people like that will only make things worse and damage your mental health. You will find much more peace without being near them.
Regarding cancelling the gym membership, there are at home workouts you can do that are available on YouTube, that require little to no equipment. (If that would be something you’re interested in). <3