That's not exactly what a smoke sauna is. It's a sauna with a big load of stone that's heated up over a long time. There's no chimney, so once the heating is do

That's not exactly what a smoke sauna is. It's a sauna with a big load of stone that's heated up over a long time. There's no chimney, so once the heating is done and the fire has died out, the smoke is aired out. The large thermal mass of the stone keeps the sauna hot. As for the reason, the design is just really old. It's how you heat a sauna when you don't have a chimney. As a side effect, the long heating, the large thermal mass, and supposedly the soot that collects on the walls combine to produce a reputedly smoother experience with the heat seeming to be more even than in a more modern sauna.