Lots of people think that if they own their home and the surrounding land that goes with it, they're free to do whatever they want with that space.
In fact, there are a variety of organizations that can and often do set rules regarding what, how and where you can build on your own land. Home owners' associations, for one, might regulate where you can add additional structures, what they can look like, and to what extent they can be viewed from outside your home.
State or local building codes, too, may have something to say about your outdoor-sauna addition. In particular, you probably need a building permit if you're going the permanent-structure route (as opposed to portable), since that's typically considered "new construction." There may also be taxes associated with this type of addition.
In extreme cases, failure to comply with these kinds of codes can result in forced removal of the new structure, so it's well worth your while to cover your bases before you start.
Assuming you're good to go, the next tip: When it comes to space constraints, be realistic.