There is a Gym near my hose in a hotel, they have gym, sauna, and a small swimming pool. But no classes. and the pool is really small.
But what would be perfect for you is Bio Bil Healt center opposite of City Center exactly. They have a huge pool, gym, sauna, whirlpool, steam room and classes almost every day from 7pm. The membership is around 600 QR per month.