I doesn't sound like sauna. It's pronounced SUN-ah, so it's more like if you were saying "sunner" (whatever that may mean) with a British accent.
I think it sounds a bit childish. It's pretty common, but it's also a common nick for someone called
Susanne or
Susanna.
Two famous Swedish Sannas are journalist and blogger
Sanna Lundell and singer
Sanna Nielsen.
(BTW, sauna is "bastu" in Swedish. When we say sauna, we mean a genuine Finnish sauna bath.)
Does the sea exist
Because of our longing?
My PNL
http://www.behindthename.com/pnl/3258/61573