In a situation like this it is probably important really focus on what you are gaining more than the embarrassment. Since you started gym you are losing some weight and learning a lesson about how difficult it can be to get healthy. So those are very important things.
You might want to go to the teacher in private and tell him or her how you have been feeling. That you feel like the rest of the class is very slim and exercise is easy for them. Just get it off of your chest and tell them that you are doing your best, but it is more of a challenge for you.
Also, remember that gym class isn't just the 45 minutes that you are in the gym. Body builders often make the mistake of thinking that the time they spend at the gym is what is giving them big muscles. The actual fact is that the time they spend out of the gym making healthy choices is mostly what is making the difference. The gym is just challenging them to be more.
So maybe talk to your parents or a counselor about what you can do to eat healthier, sleep better, and be more prepared for the stressful gym classes. A good rule of thumb is "If I had to go run in gym class, would I want to eat this right before or right after gym?" Usually healthier foods get the "yes" and unhealthy foods get the obvious "no."
Let us know how you're doing, and make sure you get some support. You can do it!
Boys Town Counselor PW