https://en.wikipedia.org/wiki/Sauna#Modern_saunas
> In a typical Finnish sauna, the temperature of the air, the room, and the benches are above the dew point even when water is thrown on the hot stones and vaporized. Thus, they remain dry. In contrast, the sauna bathers are at about 60–80 °C (140–176 °F), which is below the dew point, so that water is condensed on the bathers' skin. This process releases heat and makes the steam feel hot.
This just means the surfaces are dry. The commenter said the air is not dry.