There are several spiritual benefits to having a sauna, particularly if you visit the sauna alone:
The first is that you practice mindfulness. There are no distractions (or there shouldn’t be) and at that moment, whilst you relax in the sauna, you have the opportunity to focus only in that moment, as your attention in on the: heat, relaxing, the length of time in the sauna and how increase/decrease the sauna temperature. You could also choose to deliberately stay in the moment and not think thoughts that relate to the past or the future and think only of things that keep you in the moment.
Secondly, you have an opportunity to meditate. There may be something in the sauna that you can focus on. If not, relaxing and focussing on your breathing can bring you to a place of thoughtlessness, that provides wonderful benefits. As you meditate in the sauna, you’ll become oblivious to your surroundings, and benefit from being in a relaxed state.
Finally, relaxing is always beneficial, both spiritually and physically. Spiritually, this can allow the inner you to surface, as ideas and bouts of intuition can take shape. You have greater clarity and knowing, and find yourself rejuvenated and refreshed after the sauna, having cleared away doubts and thoughts which created uncertainty.