Saunas can be heated up to 90 degree Celsius (195°F), and most wireless headphones are not recommended to use in such conditions. However the average sauna sessions are from 20 to 30 minutes, which isn't that long so some wireless headphones are still able to endure.
The humidity in a sauna is typically around very dry 5-15% and it won't be a problem to headphones, but you sweat a lot and you need wireless headphones with IPX4 or higher to endure your sweats.