I don't see why not. Most of the ladies gym gear now are so
skimpy.
It is almost as skimpy as a bikini
But they are usually quite tight. So will you be able to get use to
it. If you wear a skirt suit with lose skirt, it should be OK as
the tights ca't be seen from outside.
And under the suit, the gym top will look like a normal top. Just
get those plain colored (eg white/black) gym top to wear.