Not sure if there are any SAMS clubs closer to WDW(there probably are) but I do know that there's one in Daytona Beach. 1st exit past the exit for I-4 off of I-95 if you're going south. It's only a block or 2 off the exit.
Sorry I couldn't be more help, if you're traveling from that direction though it wouldn't be far off the main path to stop there on your way to WDW -- just not convenient if you want to check in at WDW and then go.