Trust me, everyone will understand. Just signal to your instructor that you need water as you leave the room.
Your instructor is abusive in any way
Sadly, some fitness instructors are giant jackasses. You should never feel awkward or guilty about telling someone their behavior is unacceptable by leaving the room.
For instance, Kris Olsen, a business owner and avid runner from Ohio, admits she wishes she would have left a class where the trainer felt it necessary to comment on her ass as she was taking a break. He said, "If you don't want that ass, you better get off that ass and back to training." She finished the workout, but never went back.
Angela VanBrackle, a community development manager for the National MS Society, had a similar experience, "I went to a beginner yoga class, and the instructor was yelling at people for not taking the sanctity of yoga seriously; for not trying hard enough to master the poses. Then, she put the class on hold to yell at someone quietly stretching in the back of the room. It was the most awkward and un-zen yoga class I've ever experienced."