One time this spring i had this extremely freaky nightmare that caused me to wake up fairly upset.

In the dream i'm witnessing the execution of 20 or so firemen. The execution is done by locking them into a sauna and heating it up fatally high. The person responsible for it is a regretful-looking firewoman who has to kill her comrades as some sort of punishment, but she seems surprisingly calm about it. The feeling in the dream is very holocaust-like, and i'm just powerlessly watching it all, seeing the people stripped naked, screaming behind the glass sauna door as the temperature goes up and slamming their hands against the steamy door trying to get out.

Any opinions on what it might mean?

It sounds like you may have had to make a difficult choice or that you feel guilty about something.

Firefighters are supposed to protect you, so the firefighters being punished in the dream can refer to a situation in which you tried to do good but caused more harm.

Does the fact that the people being punished are men and the punisher is a woman mean anything to you?

To be honest I can't recall anything that I would feel guilty about, but instead there have been many times this spring when I've felt that I have been severely wronged. So I suppose the firefighters being punished could also reflect my anger at no one protecting me in these situations.
I don't think the gender of the firefighters is significant - I think there might have been women as well inside the sauna - apart from that it'd probably be easier for me to identify with a woman.

True. It could also mean that you tried to do good and you felt that you were punished for it anyway.