Can a female receive a massage by a male.

Only for the feet reflexology

Yes, not in the personal area were its gender specific, but out in the common area.

I have never seen a male give a female a massage at Jejus Sauna

Yes

I dont think so ...they do massages in the locker room where the /steam room/sauna is located and its gender specific...the male masseuse will have to enter the female area to do so and i dont think that is permitted considering that eveeyone is usually nude