I would think the effect of going to the gym would be limited in this area. But then I am no doctor...
I do know that training does wear down the immune system, but it should not be a problem with trying to conceive! In fact, I would imagine some moderate exercise would be helpful as it gets the body moving (increased oxygenation of the bloodstream).
And so long as the most important exercise is given plenty of time for!

:beatnik2: