Can both a 240V power supply and a 120V power supply, coming from a sauna heater's single power unit, go to the same outbuilding?
You'll need to run two conduits
The good news is that mixing 120 and 240V circuits in the same conduit is fine, and each of the mains circuits (light, aux, heater) in the mains conduit would be considered a &quot;different use&quot; for the purposes of NEC 225.30(D) since they're separately switched, so you can run all three mains circuits from the main building to the outbuilding instead of putting the power unit at the outbuilding.  You should be able to run the A1/A2 (thermal protector) wires in this conduit as well, since they also run to the heater itself alongside the other mains wiring.
However, you'll need to run the temperature sensor cable in a separate conduit; I called Finlandia Sauna tech support, and they insisted that the temp sensor cable be separated from mains wiring, so I doubt the insulation on it is rated for running alongside mains, and the temperature sensor's housing may not be mains-legal either.