I would like to repeat what my fellow w. sussexer said. Bollocks.
You don't learn about individual situations, you learn how you can be your real, true self. And you are worrying, if you weren't worried you wouldn't be on here, what I'm trying to get across is instead of asking how to talk to them, just do it.
No one remembers the opener anyway! You need to start feeling comfortable with being your normal self, like how you are when you are with close friends and family. We could give you all the insane, funny openers in the world. But after you've said it you're not going to be able to carry on the bravado because, just like you said, it's not you.
YOU are fine just the way you are, you shouldn't be asking for ideas on how you can respond, but more on what you can do to free up your own mind so you can respond and think for yourself.
If you're really gunning for an opener in that specific situation, just be honest. Say "I think you girls try and take our spots because your cute, not today lady." Say it with a cheeky smile and see her on the inside of the gym.
Check out that daygame website I reccomended a while ago
www.daygame.com