We do that in Michigan too but it's to punish people who commit crimes against fashion

and translation is not necessary, here in Russia we call such people (swimming in an ice hole in winter) simply: walrus

I remember this is also a cooking style called blanching.

or in this case, reverse blanching? -- cold first, then hot.

We call that a polar bear plunge in North America, not sure if the sauna is involved though

Shit I'm down to try that.