It sounds like the OP, if she is for real, is having a sauna problem and not a mixed-gender problem. I have been in a lot of so-called saunas with strange features like no water to put on the rocks, everybody wearing bathing suits, and even glass walls! These small hot oven rooms mislabeled 'saunas' are nothing like the ones in Finland, or the ones I grew up with. So I would not know the first thing about the etiquette expected. And I would not be able to relax in one, no matter who else was there.
I have trouble relaxing in a sauna without steam and without being able to have all my skin bare. Sharing it with strangers who are not even my friends? Also not relaxing.