What’s the best way to convert this garage internally

With it being a single skin brick usually on a garage, I would say that by plaster boarding you would end up with damp, so the walls will need to be tanked before any sort of plaster or render work could happen.
Also a garage door allows for a lot of free movement for air and therefor damp, bricking up would massively slow this process so ventilation would need to be added or again you will get a lot of damp.
For flooring, you are better of just getting a floor paint or tiling because of the same moisture issues.

If it is just gym I'd plaster the walls and damp proof coating and making sure that I put a
Window or vent in making sure that the electrical work. concrete floor is done
Out side can be done with shiplap cladding
Windows and doors can be replaced with brick

Use roof batton or caressing to be fixed on garage walls to take the plasterboard I would put some insulation on your outside walls fit boards and skim it.

Battern the walls, add insulation and board over with either ply, MDF or plasterboard

insulated studwork then plasterboard and skim

best way is to board up the internal walls and ceiling with insulated plaster boards, skim or tape and joint. After a nice coat of emulsion. Also it is nice to have the door bricked up with light coming in.

4x2 stud wall insulated breather dpm then plaster boarded

Boarding walls maybe or few licks of paint some electrical works few sockets and lights if your not spending hours a day in there doesn’t have to be top quality goods just enough to spruce it up.

Batton the walls with 2x2 and then plaster board over just too get a nice finish then paint it.