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Setor Kunutsor, Tanjaniina Laukkanen and Jari Laukkanen analysed middle-aged men from eastern Finland in the Kuopio Ischaemic Heart Disease Risk Factor Study (KIHD), a prospective cohort, and published the results in Respiratory Medicine in 2017. The endpoint was pneumonia. It was the first prospective analysis of sauna use and pneumonia.
Compared with less frequent sauna use within the same cohort, more frequent use was associated with a lower risk of developing pneumonia during follow-up. The entry used here does not record hazard ratios for this analysis, so no figure is given. A follow-up paper from 2021 looked at high fitness and frequent sauna use together and discussed possible implications for respiratory infections.
The data are observational and cover men only. The obvious objection applies: men who use the sauna regularly may be healthier and less prone to infection to begin with. The association therefore does not show that sauna use prevents pneumonia.
The authors discuss better mucociliary clearance, heat shock proteins and a modulated immune response as possible mechanisms. These remain hypotheses. The study says nothing about specific pathogens, and its scope has since been extended by later analyses of the same cohort with a broader respiratory endpoint.