The location in the gym makes sense for immediate access. But is there a market for getting protein shakes and smoothies delivered at home? I guess it is a cheap enough experiment so worth doing.
Have you talked to the owner of the gym for splitting the cost of the ads? Each customer you bring in is more likely to bring in money for them than you.
Can you make it someone else’s problem? Amazon and Shopify have fulfillment services you can use. Recalculate the costs in the light of the fraud the customers are doing and the amount of work you’d have to do to mitigate it or the losses from the fraud.