they are giving people free gym memberships as part of the deal, and using the penalty fees to pay for the memberships.
That sounds like a slightly different framing of the way things usually work-- people pay for gym memberships they don't get around to using.
I have no idea whether it will work either to make more money or to get people to exercise more than the usual payment structure, but it might appeal to a niche market.
Related to the recurring topic of akrasia and anticipated near-mode losses, here's an article about "Gym-Pact," an arrangement whereby people precommit to pay penalty fees if they don't stick to their planned workout schedules.
In other words, they aren't charging customers money in exchange for a service, nor for violating an agreement associated with a service... rather, they are charging money as a service.
Had I encountered this in fiction, I would have considered it satire.
(I'm being somewhat glib here, admittedly: in this "experimental" phase, they are giving people free gym memberships as part of the deal, and using the penalty fees to pay for the memberships. But that doesn't sound like the ultimate business model.)