It is possible to use a speaker in the sauna, but it must be able to withstand sauna conditions. To be safe, you’ll need to purchase a speaker or system that is waterproof and heat resistant to 200°F.
The safest route would be to purchase from a location or site that specializes in saunas. At least this way, you can rest assured that the device is sauna-approved.
For use in your sauna, look for a Bluetooth speaker with an ingress protection rating of IPX7 or higher. While some lower ingress ratings may claim to be water-resistant, they will not be able to withstand the ongoing steam and humidity.