Off the top of my head I say yes, as normal operation involves jumping into the pool afterward. You know barefoot and wet with sweat, and operating the controls, etc.
As for the code on that, I don't really know.......... Can't find anything either. But for a steam one you do, per manufactures instructions at least.
Mark Heller "Well - I oughta....." -Jackie Gleason
According to the search engine in my electronic 2002 handbook, the word "sauna" does not exist in the NEC. If this sauna does not incorporate a pool or spa I say no.