Given the difficulties, I might even run it as a skill challenge. The characters need to get to their equipment while evading enemies and traps or making improvised weapons. Due to the difficulties involved with fighting unarmed and unarmored, it might be better if you make the unarmed fight a penalty for failing the skill challenge, not the default.
Some sample skills:
Athletics: The character quickly swims across the pool, dumps a burning brazier, throws a tapestry, or otherwise does something with the environment to put some space between himself and his attackers
Acrobatics: Jumping between pillars, vaulting over benches, or just outmaneuvering the assailants so they get in each other's way.
Arcana: A quick improvised spell to distract, like changing the existing spell on the bathhouse ceiling (currently displaying the stars) to display a horrible lidless eye.
Intimidate: Doing something crazy, like just turning around and roaring at them.
Insight: Outmaneuvering the enemies by figuring out where they are trying to flank from and going the other way.
Perception: Doesn't net a success, but does help you later to figure out who these guys are. Also doesn't count as a failure.
Stealth: Hiding underwater (may also require endurance), in the steam, behind a tapestry, etc.
Thievery: Something clever, like pouring more water on the coals to increase the steam, or monkey wrenching the plumbing to blow a gasket. Doesn't add a success, but can add +2 or +5 to an appropriate roll.
If there are minions involved, be sure to have some of them taken out by things like falling into the bath with armor on or a steam valve blowing in their face. You can have a few of them killed or incapacitated this way without changing the numbers in the fight (if it occurs) by simply not telling the players how many there are to start with.
If the players win the skill challenge, they get to a room where they can put on their gear. and can burst out to challenge their assailants on equal terms. You can either have the enemies still there and ready to fight (now, it should be a cakewalk) or you can have them escape before the party is ready (they're assassins, they don't get paid for a fair fight!). Either way, give them XP for the skill challenge if they succeed, and the same amount of XP for the unarmed fight if they fail.