The short version
No. A sauna does not treat, cure, or prevent COVID-19. Heating your body or breathing warm air cannot safely reproduce the conditions used to inactivate viruses in a laboratory, and fever or illness can make heat exposure harder to tolerate.
Claims that sauna heat can treat or prevent a viral infection confuse laboratory conditions with safe human heat exposure. The direct answer is no; use current public-health guidance for prevention, testing, treatment, and care.
Why the idea is misleading
Laboratory heat treatment of a virus is not the same as warming a person. Human tissue cannot be heated to arbitrary temperatures without harm, and a sauna does not selectively reach or disinfect infected cells.
Avoid adding heat stress when sick
Fever, dehydration, weakness, dizziness, breathing difficulty, and some medications can all change heat tolerance. Stay out of a sauna when acutely ill unless your clinician has given individualized advice.
What to do instead
Use current CDC guidance for prevention, testing, treatment, and when to seek care. For urgent symptoms, contact emergency services rather than relying on a wellness device.