OK, problem #1: Yoga class? YOGA? What, was the ballet class full? You seem surprised at his actions but what sort of people do you think you'll meet in a ... yoga class? How did this jerk know you pack? Why are you discussing such things with people in a ... yoga class?
Um, a lot of serious martial artists cross-train in some of the more strenuous forms of yoga for flexibility, endurance strength (rather than rapid/impulse strength), advanced breathing techniques, and balance. There's a rather large school of thought that Yoga directly influenced or was the basis of many of the Eastern martial arts. There are even "warrior" forms of yoga, like the Iyengar system. Nothing necessarily hippie or left-wing about that. I've done a little of it, and it's brutally intense. I think I'd rather lift Russian kettle-bells.
Also, there's NO WAY you could do any of the yoga stuff and CCW. Most places don't have secure storage, other than maybe a locked office, and as has been stated, are in shady parts of town.
Oh, and another class of people I don't want to mess with are male ballet dancers. Those guys have flexibility, strength, balance, speed, and the mental toughness to endure a brutal physical regime. Sure, some of them pitch for the other team, but I'd be willing to guess there's probably at least a few pink pistols who have done ballet. Never know, do you?
