I use the Japanese bath house here in melb and that is HOT (40 degrees). I think the biggest risk for me is dizzyness because of the elevated body temp while pg and then the dilation of bloodvessels to cope with the heat. Your baby is very well insulated inside.

I know American sites often say don't use spas, but Japanese women use them all the time while pregnant, and they eat sushi! Do whatever feels right for you.