The ignition Handbook has a small section on sauna fires and states that they are very susceptible to backdrafts because of their construction. It goes on further to state that the studies have concluded that in "smoke explosions" another term for backdraft the primary fuel for the explosion is unburnt hydrocarbons and not CO.
Might be a bit more technical of an answer than you were looking for but there it is.
In this particular case two unrelated conditions contributed to the fire. An electrical malfunction as well as the sauna unit itself having been improperly installed too close to the combustible wooden wall.