Tried to bring a US buddy of mine (non-mixed) into a Spa/hot bath/Sauna in Beijing. He got terribly scared of having to be naked and rejected. But it is a good place. And they have a good all you can eat buffet. Sweat. Eat a little. Rest. Repeat.
You basically spent there the whole day.
The reason is hygiene. You sweat into your sheet leaving very little behind on benches. Then you shower and bath and do it again.
With swimming clothes you soak everything then bring it back to the chilling pool and back to sauna.
Also imho nudity in sauna seems wierd first time but you quickly realize you can be covered all the time (with sheet) and that its not sexual at all because you are focusing on your body as does everybody else (heat stress).
Imho after few saunas everybody seems to shed this fear and even gain confidence and casuality about the nakedness part.
Because the sauna police will look down on you and give you some nonsense about how textiles are gathering sweat or something, all while they sit their sweaty asses on cotton towels which they carry around with them all the time.