Gold's gym has a heated pool, also the Mcallen country has a pool that i've ran buy a couple times. Look's nice but I know nothing else about it. I'm in Mission, thought I was the only one in Deep South Texas.

 
there is a heated outdoor 25 yard lap pool at 600+ fitness center.

mcallen country club has a decent pool for workouts as well.

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Toro Performance

There is always the Rio Grande

I've gone to the high school to swim when visiting my parents. I don't remember anything bad about it.
http://www.swimmersguide.com/...ail.cfm?PoolID=14202