Have a look at these options for training in and around Cape Town:
If you are a member, you can make use of the various Virgin Active Clubs. Alternately you can swim at either the Long Street Baths or Sea Point Swimming pool, both of which cost R22 per entry.
The roads are well used by local cyclists and a suggested route would be to cycle in and around Green Point, where one can create a loop and enjoy the picturesque views. The route is not closed to traffic, so you will be cycling at your own risk.
Green Point Urban Park and Sea Point Promenade are suitable areas to train – there are many pedestrian paths which are good for run training.