As a Finn I’d say that being naked in the sauna is a tradition - not a rule. I don’t go gatekeeping on people based on what they wear or not. If someone feels uncomfortable with nudity, then wear a swimsuit. I’d rather have them join in the sauna wearing that than not coming at all.
Nearly all public mixed saunas - even in Finland - require you to wear a swimsuit. It’s mostly among friends and family that people go to the sauna naked when both sexes are present.