The issue is that wet bulb temperatures above 35°C aren't hospitable to human life for very long. That's why sauna sessions are limited and frequently punctuated by going into the cold.

Humans radiate a lot of heat, and if we can't dump that waste heat into our environments or take advantage of evaporative cooling, we overheat. Saunas condition people to survive this for longer periods, but they're not something you could make use of in the tropics without any air conditioning, for instance.