There appears to be some confusion here. A steam bath offers wet heat. A sauna offers dry heat.
I have pulmonary fibrosis (copd) and I can't imagine a worse place to be than in a sauna. Humidity always knocks me back.
Some people find humid enviroments a hard place to get breath. So it all depends on how bad your copd is. You could try it ( with a friend and take you medication with you ) for a short while and see how you feel.