Not all Style Identities lend themselves equally well to very practical clothes, such as workout clothes. Natural and Gamine may be the only two identities with obvious options in this area. How to solve this problem for yourself?
My advice is this: divide the category of "workout clothes" into two or three main aspects, and assign each aspect to one of your identities.
So color is left for your Ethereal, Ingenue, or Romantic essence. The good news is that these days, workout clothes are available in pretty much every color.
There are other ways to bring each of the three elements into a workout ensemble -- you could do an uber-sleek ponytail to bring in Dramatic, for example., or a large floral pattern to bring in Romantic.
You also might not give a dang what you look like when you're working out. :-) I don't always care. But it's a fun challenge to try to manifest our Style Identities, isn't it?