A sauna shower combo sounds obviously sensible: you want a cool rinse between rounds, so put the shower in the same place. In practice the two rooms want opposite things from their construction, and the arrangements that work keep them adjacent rather than combined.
Why one room fights itself
A sauna wants dry timber, insulation with a vapour barrier on the hot side and air that clears quickly. A shower wants tanking, tile and drainage. Put a shower head inside a cedar cabin and you are wetting the one material the design depends on staying dry, and the vapour barrier now has a water problem it was never detailed for.
The layouts that do work
Adjacency, not integration. A cabin in a bathroom with the shower a step away is the common arrangement and it is what most owners want when they say combo. Outdoors, a cabin with a simple cold shower on the exterior wall or a plunge beside it does the same job with none of the construction conflict.
The prefab combo units
Manufacturers do sell single enclosures that offer an infrared or steam function alongside a shower. They work, but they are acrylic boxes rather than timber saunas, the heat function is modest, and the electronics live in a wet room. Judge one as a shower with a warm setting rather than as a sauna, and price it against that.
What to do about the rinse
You do not need plumbing inside the cabin. A bucket of cool water by the door, a garden shower outside, or a bathroom two steps away all answer the same need. If the cool down is the reason you want a combo, a cold plunge beside the sauna gives you far more of what you are after for similar money.
Questions people ask about sauna shower combo
Can you put a shower inside a sauna?
You can build a wet room that also heats, but it is not a timber sauna any more. Almost every workable answer keeps the two adjacent instead.
Are prefab sauna shower units any good?
As showers with a warm function, yes. As saunas they are modest, and the heat function is usually infrared or light steam rather than a real cabin.
What is the cheapest way to rinse between rounds?
A bucket of cool water by the door, or a simple outdoor shower head on the cabin wall. Neither needs the cabin to change.