in theory, there are several problems:
-when you sweat, you lose moisture and this should increase bg
-in addition to moisture, you lose substances that bind insulin
-vasodilation due to heat can cause hypo
-when the heat increases the production of glycogen, which can also increase bg
-if you lose sensitivity due to diabetes, you may get burned and not notice it
But...
I love the spa, my friends and I also went to the sauna, everything was fine and I had neither hypo nor spikes. Although I am also fond of boxing and I love sweet coffee (the number of injections and food at the same time is non-standard, but this does not stop me)... Does something affect bg and how it is very individual. In general, you can do whatever you want, just look at how it affects your bg and adjust the dose of insulin and the amount of carbohydrates for this.