In Chinese, 哪+measure word= Which. For example. The measure word of 健身馆 is "个" or “所". So you should say 哪个健身房你要去？ But the better order is 你要去哪个健身房？ "Which fish do you want to buy?" The measure word of "鱼" is ”条“, so 你想买哪条鱼？

which gym do you want to go= 你想去哪个健身房。sounds like do you want to go which gym?

which gym do you want to go to? = 你想去哪家健身房？

It's easy.Which someplace do you want to go is equal to 你想去哪个地方。So,which sth do you want to buy is equal to 你想买什么东西。

Which gym do you want to go to? 你想去哪家健身房？家 (jiā) is used for establishments (companies, restaurants, shops etc.) e.g. 一家公司 a company; 四家饭馆 four restaurants; 八家商店 eight shops You may learn more measure words via this link http://www.ctcfl.ox.ac.uk/Grammar%20exercises/Measure%20words.htm