Etymology
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sauna (n.)

"Finnish steam bath," also the house or room where it is taken, 1881, from Finnish sauna. Originally in a Finnish context; by 1959 in reference to installation in homes and gyms outside Finland.

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Definitions of sauna

sauna (n.)
a Finnish steam bath; steam is produced by pouring water over heated rocks;
Synonyms: sweat room
From wordnet.princeton.edu