Help with sauna heater wiring diagram
The bottom drawing is for European 3-phase "wye" power with 3 legs of 240V and a neutral in the middle. All connections are made hot-neutral.  

The top drawing is for European single-phase (aka 3-phase "wye" where your house is only provisioned with one of the phases).  It has one leg of 240V and neutral.  

The middle drawing is made for North America/Japan/Philippines "240V with neutral in the middle" (note the 60Hz assumption which is correct everywhere but southern Japan). Both hots have to be switched, so they change out to a much stronger single relay that switches both legs.

Not shown: the drawing to wire this up 208V/240V "delta", which you might do in New York City, Brazil or anywhere with wild-leg delta service.  That wires up just like #3 except the 6 heater terminals are rearranged G U V U W W to put the 3 heating elements in a triangle (delta).  

The reason for so many terminals is so they have the maximum flexibility to support a wide variety of configurations. In fact there is nowhere in the world you can't wire this.   You only need to hook up 2 wires (other than ground) and also assure the relay is 2-pole and the heater jumpering is correct.  

Do not continue if you see a 3-pole relay, you may think "extra pole, who cares" but the 2-pole relay handles larger amperage! 

Keep in mind yellow/green is always ground (as is green or bare) worldwide.