240v 3kw sauna heater connections
You indeed don't need the neutral wire, just cap it off with a wirenut

Your sauna heater requires 240V only, not both 120 and 240V, so it has no use for the neutral wire.  You are correct that one hot goes into L1, the other hot goes into L2, and the bare ground goes to the ground symbol.  As to the neutral wire? Just cap it off with a wirenut.  (It's cheap insurance in case the next sauna heater that goes there does need a neutral, say to run its timer.  Yours doesn't since yours has a timer that runs off 240V.)