Do you have a lake to do a cold dip? At any rate, you will almost certainly be barefoot at the sauna and you won't want to step on rock when you walk out of the door. Are you going to roll in snow in the winter? Where will the snow be? Lastly, do you have the privacy to be naked? Or will you be sauna-ing in a bathing suit?

A simple outdoor shower spigot to rinse off chlorine or sweat. As mentioned could be unheated water to cool off and one can certainly shower in a swim suit.

My brother in law built a wooden privacy fence from the calves to the neck to shower and change.

Here’s an idea working off of your rendering.