Hi,
In Copacabana close to the gay venues and saunas at US50 I only know the standand room at Hotel Astoria -
www.astoria.com.br
However the favorite of the gays tourists is The Atlantico Copacabana Hotel but than the price goes up to US60
www.atlanticocopacabana.com.br.
Both are in walking distance from the best gay comercial sauna the Point 202.
Hope to have been useful.
Take care,