Martin Pall hypothesizes that sauna therapy increases the availability of tetrahydrobiopterin (BH4) through multiple mechanisms [1]. A small study with people with chronic fatigue syndrome provides evidence to confirm this [2] (I don't think this publication is peer reviewed). I believe there is an association between BH4 and cardiovascular health, but this is not my field.

[1] http://www.ncbi.nlm.nih.gov/pubmed/19581054 [2] http://www.townsendletter.com/Nov2013/sauna1113.html