Also location. In my country, saunas at home aren't as common in Finland, but basically every gym has one. So the people that use the sauna the most, are likely to be the most active.

I don't know about that. As in yes I agree but that seems to apply to Western countries in general. For example in Tunisia, people go to public baths at least once a week and part of that involves sitting in a hot steamy room for 30+ minutes. So here you have an example for a population that does use sauna (in a way) but aren't relying on self-reporting.