/diy/ - Do It Yourself

Finngolian sauna-autist here. There's more than meets the eye when constructing a sauna and you clearly haven't considered even the superficial stuff yet so I'd have to advice against.
What you could get is an Infrared Sauna. It's completely different experience and mechanism but there are self-contained models that you can stick in your living room if you want. It doesn't generate much heat and produces no water vapours.