I've done the sauna and snow thing. It's hard to find a sauna in the states that's really hot enough. And snow is actually kind of prickly and doesn't coat you like water... water's actually more bracing.
I don't see any reason why it shouldn't have an effect on the fascia, though it's totally speculative. I think Michael should take a chill pill.
Agreed on the snow Hugh.You go with what you can get though. I actually prefer an immediate cold shower, but it's not as nice to get an electric sauna up to 100C, at that temperature I prefer a wood fired one. And the super high initial temperature is critical, otherwise it's just miserable. On the upside, there is no sensation on the planet like sitting outside in 0C wearing nothing but a towel with your skin steaming. That may actually fix Phi's problem, but lacking that bit of anatomy, I don't know for sure.