Is Apple Watch resistant to the sauna room and Steam Room?

There is no mention of this in the descriptions of the device - but I would advise you NOT. Excessive temperature is bad for electronics.

Apple says specifically NOT to use the watch in a steam room or sauna.

https://manuals.info.apple.com/MANUALS/1000/MA1708/en_US/apple_watch_user_guide. pdf

See page 84.