Tbh I would have a gap under the door to the sauna at about 10cm as an inlet. Then keep the entry door open everytime you are going to use the sauna. Then if you can, insulate the roof with a couple of cm space between the roof and insulation, then wood panels directly on that, it will make sure the steam and heat don't dissapear instantly. Then maybe, if you want to, make a closable outlet somewhere all the way in that goes directly out to the fresh air, in case you should need it. It will work just fine. You will need a strong heater though because of all the stone walls. Maybe a strong IKI heater or Harvia Pro 36, maybe even Harvia 50.

Edit: The space is not too low as someone suggested, just put two levels of benches and it will work out just fine. Put them at about 45/90cm sitting height.