Interesting location!

The sea is to the left of the image. If the tide is out, there is quite a steep shingle bank to climb back up, if you want a cool dip after your sauna, so there is the metal tub with a cold water hose as an alternative.
The coast road runs along the top of the wall, beyond the railings.
It is called a nomadic sauna as it visits other locations, including Brighton, I understand.

Wonderful shot.

Marvelous capture!