Hooray! Yankee and I exercise in gym (6)
I believe the answer is:
yippee
'hooray' is the definition.
(I've seen this before)
'yankee and i exercise in gym' is the wordplay.
'yankee' becomes 'Y' (phonetic alphabet: alpha, bravo, charlie etc.).
'and' means one lot of letters go next to another.
'exercise' becomes 'pe' (Physical Education).
'in' is an insertion indicator.
'gym' becomes 'pe' (short for Physical Education).
'pe' going into 'pe' is 'ppee'.
'y'+'i'+'ppee'='YIPPEE'
(Other definitions for yippee that I've seen before include "Hooray!" , "I'm deliriously happy!" , "I'm very very very pleased!" , "Cry of wild delight" , "Hurray" .)