Immediately send a letter to the collection agency, certified with a return receipt requested, disputing the debt and requesting that they send a copy certified with a return receipt. After 30 days, when they fail to respond, send another letter noting that they failed to respond and by so doing, the matter is considered closed.
I would send a letter to the gym, in writing with a return receipt requested as well. Include in that letter a with a copy of the single line item (cover everything else up (including the bank's name) leaving only your name and the line item. Send it noting that on X date they told you they could not work with you and on Y date they apologized for the error. I would put cc: State Attorney General on the bottom of the letter. If it's happening to you it may be happening to others.
If it were me I would still file a complaint against the gym. File it with the State AG and the State consumer protection division. Also file a complaint with the BBB and send a letter to your legal representatives asking them for stricter laws on gym contracts. It takes a few hours of your time and becomes a headache for the gym.
Several states have enacted such consumer protection laws; Virginia is one, allowing for a 3 day right to cancel on a gym membership and the associated financing contract. I cancelled on Bally's after hearing bad things from members.
Keep an eye on your credit report. Keep an eye for the debt to be "sold" down the road as it is very possible that the gym will sell dreck (bad) recievables and this would be lumped in even though the client (gym) pulled it from the agency.
They might have potentially made a few months of your life a living hell, whether right now clearing this up or down the road.

