Refuses to cancel our contract!!

This gym is very *********. We wanted to join, met with the sales consultant, signed a contract but never paid the joining fee. A few days later we informed the sales consultant we were not interested anymore. We never ever used the gym. The consultant informed us we cant cancel until we pay a first month instalment and cancellation. What BS!!! How can they force you to pay for something you have not used? The contract was null and void as no joining fees were paid. Now we are constantly being bombarded with calls and messages, to pay gym fees. We do not want to join the gym, why are you forcing the issue? Please cancel our membership immediately!