Buy a Gym membership and go inside the Gym. (Note: When you don't have the money to buy a membership, speak to Christina anyways and tell her you're meeting someone, and then when she asks say it isn't Lucy, and you will be let in for free).
Lucy isn't there yet, so you get to peek around.
[This has nothing to do with this quest. But you can get this extra memory.](Only before the start of Chapter 2) You can peak in the showers in the bottom left, and you see someone showering. You think it's a guy, but if you keep peeking you realize it's actually a woman. You regret that you didn't use a Meditation Pill before entering the room.
You shuold go speak to Natalie on the treadmill. She looks pretty sexy in her workout outfit. After talking to her, Lucy will appear.(Only you have experienced the slave girl event at Natalie house, Natalie will appear in the gym.)
She tells you that she's actually not going to give you any answers, but she want's to fuck you as repayment for the money. If you have high enough confidence, you'll tell her you want to fuck her right there in the middle of the Gym. She tells you that's exactly what she wants.
You take off your pants, but then Lucy is disappointed by your small penis. She gives you a pill which activates your Shapeshifting power and turns your dick into some strange shape that makes Lucy super horny. You fuck her right on the floor.
After you're done, you turn around and notice that Natalie has been masturbating while watching you two fuck. When she sees that you noticed her, she gets up and runs away without even putting on her pants.
Christina comes in and kicks you and Lucy out for fucking in the Gym.
Lucy tells you that the sex was amazing and tells you to call her again sometime.