Medical Journal Article about Sauna Safety During Pregnancy
According to Suggested limits to the use of the hot tub and sauna by pregnant women, an article in the Journal of the Canadian Medical Association
"This Indicates that the usual use of hot tubs is unlikely to raise a woman's body temperature to potentially teratogenic levels, although prolonged use may." The full article is quite technical.
More from the summary: "The results of this study do not contraindicate sauna and hot-tub use during pregnancy. They do, however, suggest the wisdom of avoiding lengthy use, even when interrupted by short cooling-off periods, and indicate guidelines for the length of time a pregnant woman can remain in a heated environment before her temperature reaches a level that might be harmful to the embryo or fetus."
A layman's summary of a key point: Yes, high internal body temperatures are dangerous. However, saunas normally do not produce high internal body temperatures.
See Are Home Infrared Saunas Safe? for discussion of sauna safety in general.