It is the heart of the Finnish sauna.

The word is very old. It goes back to a Finno-Ugric root meaning spirit or soul, and its Hungarian relative, lélek, still means soul. When Mikael Agricola put the New Testament into Finnish in 1548, he turned "the washing of regeneration" (Titus 3:5) into "the löyly of rebirth".

Is there a word in your language for the steam in a sauna?

Sources: Kotus (Institute for the Languages of Finland), etymology of löyly; Agricola's New Testament (1548), Titus 3:5, in the Kotus corpus.