That can happen at privately-owned, small gyms, where the owner(s) have to go out of town, and don't have anyone trusworthy to run the asylum while they are gone. Still..that is about as shitty a business move though, as Coke changing its' formula. I'd find a new gym and fast!
Maybe if you know the owner well enough, he might agree to give you a key while he is gone. It's worth a shot, if there isn't any other gyms close to you.