It’s not intentionally misleading. It doesn’t say “an additional 20% off,” and if you didn’t know you were getting a discount, that’s not really their fault - assuming there is a customer somewhere paying full price.
You could simply have declined to pay full price after you discovered the actual terms of the offer, too, so it’s hard to argue that you relied on the flyer to your detriment.
Yeah, I think I should have done is asked 20% off WHAT. I’m taking this as a lesson learned and probably won’t worry about it next year. A 5% discount is hardly worth it.
I suppose I’m just slow, but other than disappointed expectation, what bad happened here?
OP is apparently already an annual subscriber, previously receiving a 15% discount.
The offer induced them to… what? Renew the annual subscription early? Is that bad? Were you thinking about quitting them at the end of the current subscription? If not, sounds like “no harm” here.
And, as inducement to this earlier subscription renewal, the gave you a further discount over that which you already had. Not the whole 20%, but an additional 5%. You secured the next year’s membership at a further discount, albeit not the unrealistic discount on top of your current annual discount.
Like I said, the only thing to get annoyed about is that the gym didn’t make excruciatingly obvious that the 20% discount would be replacing, not on top of, the existing 15% discount. But 35% off? That’s right up there in “too good to be true” territory.
But it’s 5.882%! Off what you were already paying 
It would actually be 32% off (not that it matters–you don’t just add percentages there.) With something like a membership fee, that wouldn’t be anywhere near “too good to be true” territory for me. I see plenty of deals that start with an inflated price nobody ever pays and ends up in the 50%+ off range, so why would this seem off to me?
As to the OP, I would interpret it as 20% off what I would normally pay to renew for a year.
That’s how I took it. I actually spend more, since they charge for specialty classes like TRX and Boot Camp, presumably so they can dictate the size of the classes, unlike Body Pump and yoga and zumba, when it’s squeeze everyone they can in the room, then squeeze in some more.