Sounds a bit like of an oxymoron to me.
This article from Kirsten Korosec for www.active.com reminded me how we have organized indoor triathlons at my gym in the past. All you need to do is fire up your track or treadmill, spin bikes and the pool. Set a designated distance or time for your swim, bike and run segments . . . and you're off!
This provides for a little twist in your fitness activities at a time when you're tired of being stuck indoors. Perhaps your fitness facility would consider organizing one at your request? Many fitness centers organize these events as part of their triathlon training programs as well as bike/run programs (or "brick" programs as they are often referred).
Be a hero. Organize an indoor triathlon at your gym soon.