Well I hate to tell ya, it's not a matter of where we live, it's a matter of the language. Jim and I are both of Finnish descent and I wish I could speak the language other than a few words. I've only once ever heard sauna pronounced correctly, and it was recently on a Progressive commercial, other than Finlanders, most folks pronounce it wrong.
Jim received this book from our son-in-law one Christmas and this is where he got some ideas for our sauna. I looked on dictionary.com and that site pronounced sauna wrong, but in this book it tells you how to pronounce it.
There you have it, the correct way to pronounce sauna is SOW-nuh.
I just love to educate people on the Finnish language, especially in the pronunciation of the word sow-nuh :) I'm going to give you a bit of fyi of what I know about saunas.
Did you know that you don't wear swim suits to take a sauna and that you only wear your "birthday suits"? Some Finns and maybe this is years ago, where men and women took saunas together, not sure if that's just in Finland, because I've only ever know men to go sauna with men and women to go sauna with women, and married couples will go sauna together as well.
Tho I've never done it, while taking a sauna one often times will jump in a lake (preferably a very cold lake) or if it's winter the snow, then run like mad back into the sauna to warm up only to do it again.
Maybe I'll be brave and next winter give sow-nuh and a jump in the snow a try.