Penile discharge when I work out/ I have never had sex/ is that normal?

Abnormal. There are different reasons for what may be happening. The discharge may be just from the prostate that secretes a liquid that is released with sex and because of no activity in that area! You may have chronic prostatitis which is easily treatable. In any event you should see your family doc and get an opinion after exam and possible culture and microscopic look at discharge.