I think that gap is due to hip-bone placement - not necessarily fat or muscles b/n the thighs. A lot of ballerinas (or those who have done ballet during childhood) have this gap as well. So it could be genetics/bone growth, or prolonged activities that causes this gap.
I took jogging class, but the gap didn't appear. My legs were lean and fit though. I was happy either way. Till this day, no gap!
I heard others say to try pilates, and yoga.
Atalanta (Fate/Apocrypha), Sailor Saturn (Crystal), Saber Alter & Dark Sakura (Fate/Heaven's Feel), Sangwoo & Yoonbum (Killing Stalking)