Can anyone recommend me a gym?

May I ask why you want a gym membership? You can get very fit and strong without one

How would you suggest that one takes a Sauna without a gym?

If anyone is interested in keeping fit. Why not try these guys.

Ex military trainers. Definitely recommended. Cater for all levels of fitness.

www.britmilfit.com

Sauna'ing in Regents Parks famous hot springs maybe?

Try the local leisure centre

Do this one, may get lucky re Sauna requirement