Up until recently I hadn’t found a whole lot of credible evidence for sauna therapy’s detoxifying effects. However, recently it appears the sauna Wikipedia page went through a serious overhaul. This study (pmid: 9553837) is cited on the updated page suggesting sauna use helps eliminate chlorinated and aromatic hydrocarbons from the blood stream.
Unfortunately, this particular article is just a case study of one individual, and there’s confounding variables like sudden introduction of new vitamins, etc. it’s still interesting in that they do include the lab results before and after sauna therapy.