Steam bath or room (5)
I believe the answer is:
sauna
I believe this clue is a double definition.
'steam bath' is the first definition.
(sauna is a kind of steam bath)
'room' is the second definition.
(sauna is a kind of room)
(Other definitions for sauna that I've seen before include "Form of steam bath" , "Steam-heated room" , "Where one is sweaty" , "Type of bath" , "A Scandinavian steam bath" .)