Short: If you use the "Autoplay Treaures" button, or use autobuy, then playing a Silver with Sauna in play will not ask you for trash options. In that case, you have to play the Silver manually, but see below for what to do if you autoplayed your Treasures.
Long: In order to allow an undo for "Autoplay Treasure" without opponent approval, "Autoplay Treausure" cannot produce any new information for the player. Normally it doesn't, but when you trash something for playing Silver with Sauna in play, it can happen. Examples are trashing an Overgrown Estate or Cultist, which causes the player to draw cards. So in that case, no trash option is offered when autoplaying Silver.
This also shows what to do if you mistakenly autoplayed your Silver but wanted to trash a Copper or other card: Undo the autoplay, then play the Silver(s) manually. Once that is done, you can again autoplay your remaining Treaures, if you want.