'Some women aren't bothered by being naked in a space with men. Like in some Scandinavian countries'
Such as? I'm sure we have enough people with experience from such countries here to knock that one on the head.
Finland, generally, no. Public-access saunas such as in hotels or the like are strictly sex-separated, usually on a time rota.
Private saunas within families or friend groups, possibly mixed-sex, but still usually not.
There is a lot more nudity - you will probably see most of your work colleagues of the same sex nude in a company sauna at some point. But not those of the opposite sex.
It's a very common theme you see among TRAs, usually American, this fantasy that large chunks of Europe are some sort of mixed-sex free-love hippy space.