There's a great place called Vitality Studio based in a new office development right next door to Olivia Valere on the Istan road. It's only been open a few weeks. They specialize in Pilates and have a wide range of machines along with a gym and 3 PowerPlates.
The Puente Romano also has a Pilates studio too. Private Class - 55 Euros, Semi Private Class - 35 Euros, Group Class (3 people per teacher) - 20 Euros. They also do matwork classes for 20 Euros (max 6 people per class)
Hope this helps