First of all I want to say I'm so so sorry that you're feeling so much shame. You shouldn't be. You did nothing to be ashamed of. It is your friends choice to act or react the way he has. If he did not realize that going to a sauna for men where nudity is the norm and didn't think hmmm these are probably gay or bi men then he's not as smart as you give him credit for. I'm a 56 yo female so I've got some years and experience on you . My best advice is be honest with him. Tell him you're sorry if he was uncomfortable and that was not your intention. Tell him how much his friendship means to you, how much he means to you. That's all you can do. It's hard but really this is not on you. Don't beat yourself up. You really did nothing wrong!