After some quick research online ( (removed) ), I found that changing temperatures suddenly - in your case going from the overly-hot sauna to a shower that was presumably cold when you turned it on- can cause a person to "black out." However, many gyms make members sign a waiver before signing up freeing them from any liability should an accident like yours happen. I'd imagine these kinds of things depend not only on what gym you go to, but what state you live in as well.
Since I'm not a lawyer, divulging all the details of your gym accident to an attorney would be the best thing for you do. If you had asked a gym employee to adjust the temperature of the sauna and they failed to do so and you later blacked out, it would appear you could have a valid case. If you did not ask an employee for assistance, then your chances of having a legitimate lawsuit change. A lawyer could best answer your question.
This link clears up some facts on gym waivers. Hope it helps: (removed)