Saunas (at least the way we enjoy them here in Finland) can be pretty humid, because we throw water on the stones of the stove. But throwing too much water can make it intolerable, and lethal if you don't follow your instinct to leave if it gets too hot.

https://www.bbc.com/news/world-europe-10904691

Normally in a sauna it's not constantly so humid that sweating wouldn't be able to keep your body temperature normal (as long as you stay hydrated). Throwing water on the stove raises the humidity just momentarily and makes you sweat at full capacity, but normally you would wait for some minutes before throwing more water.

If air is humid enough, sweating can't cool the body anymore because sweat won't evaporate, so already 35C is lethal in 100% humidity.

https://phys.org/news/2020-05-potentially-fatal-combinations...

Also the feeling of radiation. I remember experiencing 123F in death valley and the feeling of my skin just feeling weird