To answer your question, yes and no. Unfortunately, the square iPod nanos cannot accept video files (even thought previous and latter generations can...don't know why Apple took this backwards step with that model). You would need to put the video file onto your iPod in order to just listen to the audio portion of the video at the gym. So, yes, it is completely possible, but no, not with the particular model that you own (which I also own, so I can sympathize with the limitations it imposes!).