The dominant safety risk of an ozone sauna is inhalation, not the heat. The US Environmental Protection Agency states that when inhaled, ozone can damage the lungs, and that relatively low amounts can cause chest pain, coughing, shortness of breath, and throat irritation, and can worsen existing respiratory conditions. EPA also reports that ozone concentrations produced by ozone generators can exceed health standards even when manufacturer instructions are followed. A session is therefore only as safe as the cabinet seal, the room ventilation, and the ozone destruct unit.
How strong the finding is
A federal agency position synthesizing the ozone inhalation toxicology literature, including the finding that ozone-generating devices can exceed health standards under normal use.
What complicates this
None material. Some vendors argue that head-out designs eliminate inhalation risk; EPA's finding on ambient concentrations from ozone generators is the reason ventilation and destruct units are still required.
Source
Safety source - Never inhaled / never direct IV gas (FDA warning) — KG-05 safety matrix