Hundreds of thousands of traditional saunas are functioning just fine without electricity, along lake shores and rural countrysides of Europe. As most have been around before the introduction of electricity, they have been built free from the umbilical chord of conduit, 12 gauge wire, sub panels, and electrical inspectors with clipboards and frowns.
And with a nod towards zen of simplicity, these structures are lit by the moonlight, the smiles of its users, and most often by a simple candle. A candle in the changing room can provide ample light in the hot room thanks to a simple yet ingenious idea: a window. When building your own authentic Finnish sauna, be it a backyard sauna, cabin sauna, or even an electric stove powered sauna in your basement, consider giving a nod to this tradition by installing a window within the common wall of sauna and changing room. Your window ledge in the changing room: perfect spot for a candle.
Then, perhaps after a hectic work week, or maybe amongst a collection of close friends, or family, you are free to take a sauna as people have for centuries. No phones, no music, nothing. Just a single source candle, radiating soft light throughout.