I wouldn't be cool with her working out or walking during a session. I find that request to be very bizarre and rather unprofessional.

The only thing that might pass is if she were to invite you on a walk outdoors. A stroll and talking, but even then that might be too distracting...

Btw, what type of therapy is it? Talk-therapy: psychotherapy, CBT???

And what are this "therapist's" credentials? Is she a trained, fully-liscensed psychologist?

I ask because, from observation, there seems to be a lot of people parading around as therapist who perhaps shouldn't have the title.