Splashing water in moderation over the sauna rocks is part of the sauna experience.
Water can be brought in and added using a sauna bucket and dipper.
A water tap inside the sauna is convenient. Keep in mind, there are restrictions on how close water can be to power (heater). Generally, distance is 3’-4.5’ (local regulations may vary)
If a sauna has a water tap, it should have a drain and a waterproof floor.