If you are talking about the insulation being the surface behind this product and it's thick enough to hold a staple and/or the garage door is wood, Yes. If the answer to both of those is no, then the issue becomes getting the product to adhere to the insulation.
I asked the my local HD Pros about using this to insulate the attic over my garage and they advised against it, saying it would take several layers to get the kind of R value (insulation rating) to use batting or blown insulation. I would think that as long as you fixed it so it wouldn't move, a concrete pour might be okay, but something strong enough like nails, screws or rivets might tear it under the weight of a concrete pour. Let me know if it works.
We use this as a window barrier in our Motorhome and it works great. We cut it to fit the window and attach with heavy duty Velcro.
Without seeing the sauna tent, I would guess that since the ones I've seen have a soft fabric backing, you might be setting yourself up for a serious injury from lethal gases at the very LEAST. These are questions for the manufacturer since as a layman who is not contractor or OSHA construction certified I don't know enough about material tolerances to say for sure. If it were for me, I would use a material that is rated for such a use.
My guess would be no, but that's a question for the manufacturer.