Utah sounds good in terms of sauna. Rolling around in a lot of snow can be fun, but it can also be quite painful if it's a bad type of snow for rolling around in. Like icy daggers. It's a bit of a children's thing (or drunken thing) anyway, just chilling outside in a robe (or naked) is also good. Having a drink while naked and you're immune to the cold, just steaming there? It's a nice feeling.

A shower is a good idea, but I don't know if you'll even need a shower, per se. Just a water connection to the sauna shoulder suffice. And is needed as well, you'll want to be able to get more water for löyly without having to walk all over with a bucket.

Then just have several buckets in the sauna that you can mix bathing water into. Usually there's a larger bucket, a barrel or a tub, really, like 10+ gallons. Then have some of these. As I said some of these terms lose connotations when translating. Translating that site to English, the category goes from "ämpärit, vesisaavit ja muovikauhat" to "buckets, buckets, and plastic buckets" haha. More like "buckets, waterbarrels (the type I was talking about) and plastic (bathing) scoops."

It's good in general, because you'll have this reserve of somewhat warmish water in there which will warm up more while you warm the sauna (although not by much, if its winter and you heat the sauna for a few hours the water is still gonna be cool-ish probably). Having buckets and wash tubs (like a 2 gallon low but wide "bucket", a basin, you know) is good because people can mix their preferred temp bath water from the cool-ish barrel and by adding a scoop or two from the hot-water reserve that the stove could have. This is why I suggested it, as hot water is kind of necessary. Not really, but as washing yourself is pretty much necessary, if you don't get one with a reserve, you're gonna end up either warming the sauna up a lot longer so your waters willing also heat up or taking very cold showers.

And when there's a really tight bit of löyly that's a bit much for someone, but not so much that they go out instantly, they can use the scoops to pour water on their heads.

Oh god there's a lot of sauna culture I didn't even realise we have. Like those littlest plastic scoops have been everywhere since I was a kid but can't imagine them in America for some reason and just never thought of it.

So you don't really even need a connection of water to the sauna, just a garden hose is fine, then fill up the buckets and tubs in there and it's plenty.

So really all you needed is something sort of a hut or whatever and a stove top, some buckets and tubs, and you're off.