Saunas are pretty common in places like Finland. It's pretty much part of a regular house, especially in the countryside. You'll find homes without running water will even have saunas. In the past homes without electricity would've had saunas too.

A sauna is just a room/building with a heater that (usually) has a load of stones in it and some (high up) benches. That's it, that's a sauna.