Well, A Failure to launch have some sauna scenes involving futa and, so far, a lot of blue balls. Since you didn't cared to tell us what a "good sauna scene" mean, I guess that it's what you are searching for.
Only one I can think of is Waifu Academy - but it's not female protagonist, and it's a lot of game to play through to get to the handful of sauna and hotspring scenes.
Man of the House has some good sauna scenes in it. Being a DIK has a couple of sauna scenes as well. I'm surprised sauna stuff isn't more popular personally. Seems like it would scratch the same itch as massage, nuru, shower stuff but it's a lot less common.
Yeah kind of a fetish for me and was surprised that there isn't more. Only one I can think of is Emilia&Joseph but thats not for everybody because of NTR