Oh, sauna... I am nuts about it.
Bally's in South Hills Village has sauna and I bet there are some other gyms out there, with jacuzzi and sauna.
Alexanders gym down in Southponite had a sauna but not a jacuzzi.
In all these gyms you have to be a meber to use the facilities. Maybe ither gym members here can tell you who has what.
Big hotels downtown have jacuzzi and saunas but i don't know their policy of using the sauna.
On the bright side, if you can affrod it, you can add a sauna to your basement
I have some friends who did so.