She thinks going to the gym a waste of time

She thinks going to the gym a waste of time
 

She thinks going to the gym a waste of time.
Is that sentence correct despite the fact that Is is missing?

It is incorrect, but you can say, she thinks going to the gym is a waste of time,
Oddly you can say (especially in Britain), she thinks it a waste of time.

I found it in a Proficiency book and they stated as correct . It sounded weird to me !

To me too, but perhaps it is used in Great Britain. I know, she thinks it a waste of time, is used especially on your side of the Atlantic. Where was the proficiency book published?

In Great Britain, Exeter.

That explains it. There are slight differences in the use of language in European and American English.