Apart from looking evil, is there any particular reason as to why these rooms look like saunas?
The production notes for the Klingon warships designed for the original TOS series Klingons stated:
The goal of the Klingon warship was battle, not comfort. They did not have exploration ships like the Federation, all of their ships were created for war. Food was barely edible, crews were always training, a lust for combat was always promoted. Honor and glory were the Klingon meat and drink.
Klingon ships were designed by the production teams to appear crowded, tight and cramped reinforcing a ship which was a highly utilitarian environment. They were meant to evoke the idea of a ship that has been out on patrol too long.
The interior of Klingon vessels was designed mimic an old World War II submarine complete with a darkened interior, red lighting, smoky, poorly filtered environments and a crew hardened by these conditions, ready, willing and spoiling for a fight.
Working the submarine motif, complete with periscope.
The goal of seeing an interior of a Klingon ship was to show you the belly of the beast, a fearsome, barely contained crew which lives in deprivation in order to be ready to maximize the glory from boarding your ship and decorating their bat'leths with your entrails.
Qapla'! (A Klingon salute for success in battle.)