I can't point to 'code rules,' but I can tell you what I've seen.
First, while I assume 'suana' to mean a very hot, dry room, some folks use the term to descrive a 'steam bath.' So, your first call is whether the location is wet or not. IMO, an otherwise dry place that has some hot rocks folks might pour water on to make a flash of steam don't make the location 'wet.'
From here on, when I say 'sauna' I mean the dry type.
The only wiring I've ever seen that was actually inside the room was the whip feeding the heat unit. Personally, I would use sealtight (because of that water splash issue). The PVC jacket has to get to about 220F before it starts to break down; your sauna will almost never have the ambient exceed 160F.
That issue - heat- and the associated personnel safety risk is why every sauna I've seen has the heat controlled by a twist-knob timer on the outside of the unit. It just won't do for someone to pass out and cook inside. There's also -usually- a pilot light on the outside to indicate 'heat on.'
The light fixtures are metal/glass enclosed types, with the body of the fixture outsied the sauna; only the face is exposed to the heat. For example, a recessed 'can' with a shower trim.
Ever sit on a hot nail head? Well, if you have you will understand why I say that I do not believe you will need to make any effort to 'ground' the unit itself. Everything is plain wood. (Naturally, the heating unit will be grounded in the usual manner)
