As a Muslim woman, I would neither laugh or get offended. I would think it's a cheap way for you to get people to laugh, honestly. I would probably also let that comment slide for now and see if you make any more references to religion in general when it's not appropriate. If it does happen again, I would look for another gym instructor.

Have you tried apologising for your insensitive comment? Or perhaps, you can get a third party to explain how you didn't mean to offend anyone. Hope I have helped.