Unashamedly stolen from nhs
There is little research on using saunas during pregnancy. However, it's generally considered wise to avoid them, because of the risks of overheating and becoming dehydrated.
When you use a sauna, jacuzzi, hot tub, steam bath or steam room, your body cannot lose heat effectively by sweating. Your body's core temperature therefore rises. If you're pregnant, the amniotic fluid in which your baby floats can also start to heat up. Some evidence suggests that a significant rise in your core temperature can cause birth defects. For example, to your baby's developing nervous system.
When you're pregnant, your heart and blood vessels are already working harder, to support your developing baby and expanding womb. If you overheat, the demands on your heart and blood vessels will increase further. More blood flows close to your skin, to help cool your body by sweating. Therefore, less blood flows to your internal organs. If there isn't enough blood flowing to your brain, it could make you feel faint (when you feel weak and unsteady before passing out, usually just for a few seconds)
For the same reasons, it's also best not to exercise in hot or humid conditions.