Calorie
Im not sure what type of workout you do but if it is something like stationary bike or treadmill or something like that I can’t think of any issue with listening to a shiur. I remember when I used to attend the Kosher Gym years ago there were some very frum people there real yeshiva types and even some Rabbis and they used to listen to Shiurim. I recommend you ask a Sheila. What do we know we aren’t Rabbonim?!