It does sound like this particular lady just wants to complain about things. Although she may have a point about certain things (I do think newspapers/ink smell funny, and I don't like touching them because the ink comes off on my hands easily), rattling off several complaints in a row is not a good way to start a conversation with someone. Is she new there? Maybe the place she went to before had different rules. If she starts complaining again, maybe you could point out a manager to her in a friendly way, and suggest that that person is the one she should be complaining to, not another customer.
Generally, as long as you are following the rules, you're in the clear. You've left your newspaper and glasses in the sauna for years and no one has complained. However, now someone has complained, so I would take them with you when you leave, because it does seem like they could be taking up room that someone else currently in the sauna wants to use. It seems weird to me that people leave their clothing in there to dry, because surely that takes up even more room, but apparently it's not against the rules, and if it's not your clothing and you don't mind it being there, you're not under any obligation to do anything about it. Hence directing this woman to management if she complains to you again.