This works similarly to English - minus the dummy subject 'there' which we don't have; in Finnish it's like "here is (i.e. this place has) a lake and (a) sauna". So, in this case on is describing general existence (of something somewhere); not the things themselves "doing" something.
There is (something) there/ (over) here/ over there/ somewhere
Siellä/ täällä/ tuolla/ jossain on (jotakin)
If the statement was "The lake and (the) sauna are over here." then it would be "Järvi ja sauna ovat täällä."