«У ла́зню» with accusative means the destination (i.e. you're not in the sauna and will go there), «у ла́зні» with locative means a location (i.e. you'll be in sauna and will go somewhere inside the sauna).

У лазні is wo? --> in der лазня (in the case of Ukrainian we have Locative and not Dative for that)

У лазню is wohin? --> in die лазня (Accusative)

:D