Most women's locker rooms have at least some private changing stalls, though (and even if they don't, some women will change in the toilet cubicles). So yes, since there are body-shy cis women, it's almost always possible to change in a locker room without flashing genitals. I even managed to take a shower in a locker room while pre-op and with no shower curtain, though I do NOT recommend the terror of that experience! (It was an emergency situation.) It will, of course, depend on gym policy, but for the most part women who blend in well aside from the nether regions can find a private spot to change and all is well.