For an exterior sauna the typical construction method (in Europe) is a wood frame with the floor boards (usually pine or spruce T&G but I’ve seen oak and other woods used) attached directly to the joists and very slightly sloped towards a trough drain. 

Traditionally these were not insulated so the bottom side of the boards could dry easily but over the past 30 years they’ve learned that insulation helps considerably in reducing interior temp and steam stratification. 

The method that seems best so far is to partially fill the joist bays with mineral wool. Enough to insulate a bit but leaving about 1-2″ gap to the underside of the floor boards. And then something to protect from varmints like a very fine screen + hardware cloth.  This has generally seemed to work well. 

I think some people who use a lot of water (dumping buckets over their head) will lay rubber mats down to get most of it to the drain directly to the drain.

Wonder if anyone has any thoughts on a better way to do this?

Thanks,

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Note: Concrete slab or duroc/mud on a frame + tile is frowned on. Primarily because it becomes a heat sink that sucks heat out and increases stratification unless it is extremely well thermo isolated (both to reduce thermal bridging and insulated). It is also complicated to build correctly. 

An alternative is slab or mud with hydronic in-floor heating. This is the best solution but adds considerable extra expense/complications that many people don’t want to deal with.