Its a culture issue. Sadly, a lot of places have a very body shaming culture and raise people to be ashamed of their own bodies being seen. In my experience, cultures that include nude sauna do not have this kind of body shaming.

Imagine if you moved to a new country. When you got there you found that everyone in town shaves off their right eyebrow. They shame anyone who doesn’t. If you were raised from birth to feel that having a right eyebrow is shameful, then you would also feel shame at not shaving yours.

The good news is that you can get over body shame. Spend enough time around people who don’t practice such shame and eventually you get used to it and feel fine. Look at the complete chill at which that family does nude sauna. You are not different than them other than some of the ideas you were raised. You can change your mind if you want to.