Awwww, that was nice of her....however, a gym is not quite the place to be handing out junk food......I know what you mean though feeling guilty about dismissing someones gesture of kindness.
It's not quite the same thing, but every year at tax season, one of the tax prep places brings me a box of Krispy Kreme glazed donughts and some discount tax coupons for clients. As soon as the guy leaves, I give the whole box away to a client to get them out of here.