The reason I am skeptical is because any photo/video of her would be worth a fortune.
Just my opinion: Jack P. is actually a decent human being rather than a purveyor of tabloid fake news so not exposing the gym name (or video if he’s got it - I don’t think he has) for privacy reasons is consistent with his behavior. I tend to believe him, based on being somewhat familiar with what he does. OAN aired it & I would think they wouldn’t unless Jack’s report is considered reliable.
Still, until RBG actually & officially “appears” in public, nothing is a certainty. She is biased against Trump big time so I don’t expect her at the SOTU.