While I definitely see where you're coming from, let me ask you this: Is it not embarrassing to be the 1 or 2 people that are excluding everyone else from doing something? That could very well end in a team alienating people because they won't sit in a circle and pretend to pray for 30 seconds. IMO, prayers are just words strung together unless you believe in them. Saying an Our Father makes you a Catholic as much as saying you wish somebody was dead makes you a murderer. Reading the bible and saying a prayer doesn't make you Catholic, believing in the bible and believing in the prayers is what makes you a Catholic. Now, if a coach is forcing the religion down the throats of the athletes, that's different. But to me, saying a prayer to God isn't forcing it down someone's throat.
It's a lot like school to me. In Biology I just recently took a test on the theory of evolution. Not to turn this into a "How did the World Come to be" argument, but that's not what Catholics believe in. I didn't sit there and argue with my teacher, or even give my opinion about the theory. I took in the information, learned it, studied it, and then regurgitated it onto a test and got a good grade. That being said, it didn't change my opinion on what I believe in just because I learned about something different. I imagine it is because my parents did a good job reinforcing in me that when faced with a situation like this, you must hold strong to your own beliefs. The parents of the gym are taking away a FANTASTIC life lesson sitting in front of them. Just because somebody else is doing something doesn't mean you have to agree with it, but it also doesn't mean you have to be difficult and go against it. Sometimes you're not always going to agree with what people do, but you have to choose your battles and continue to stand strong in what you believe in. That doesn't necessarily mean ruining something else that others may want to be doing.
I guess it's just all in the opinion of the individual person. I wouldn't feel awkward if I went to a primarily Jewish gym and they had me say a Jewish prayer. To others, that may be extremely awkward. I, personally, love to learn about new things like religion. That doesn't mean I'm going to change my own beliefs on something though.