I think this woman at my gym thinks I'm stalking her? What should I do?

Let it go. This women is either not talking about you or honestly super paranoid herself. Mind your own business and live your life as it was before this started. Listen to your ipod/music player when you work out and before you enter. This women has got to get over herself. Either she does that or leaves the gym either way don't be so concerned about it. Talk to Reggie or Paul casually and ask if she is alright.