My doctor told me to have saunas to detox. They don't kill bacteria but are great for detoxing, apparently.
The best type is an infra red sauna and you should do 20 mins a day. It's very important you dash out and shower immediately afterwards to get the toxins off your skin.
If you're not on antibiotics I am not sure how much use detoxing alone would be. I guess it would probably give some symptom relief.
I agree with mojo. These are perhaps helpful, but the important thing is (like in any bacterial infection) to kill the bacteria, and exercise will not do that. Sauna seems to have beneficial effects in some ways by stimulating the immune system and clearing out 'toxins', but a steam bath will also not kill the bacteria directly.
There are some herbal treatments that some docs and patients use, but the first and (to my understanding and belief) the best choice is to kill the bacteria with antibiotics, taking good-quality vitamins and supplements and eating well, to support the immune system.
Lyme bacteria are able to create and hide in slimy shields called 'biofilms', which prevent the immune system from seeing and killing the bacteria. A Lyme specialist knows this and treats with paired antibiotics, one to pierce the biofilm and the other to kill the bacteria.
I have heard that and hot tubs help with detoxification. It doesn't eliminate the bacteria though.