A fairly normal spa massage is done unclothed with a towel covering (the client disproves and covers up while the masseur or masseuse out of the room.)
So, while a massage room might have windows, if it does they almost certainly would be covered completely when in use. So no windows isn't odd for a massage room.
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Google has on-site masseuses. They also have dedicated massage rooms with no windows. (I've seen one.)
I hope that I'm wrong, but I'm suspicious about what happens in there.
A fairly normal spa massage is done unclothed with a towel covering (the client disproves and covers up while the masseur or masseuse out of the room.)
So, while a massage room might have windows, if it does they almost certainly would be covered completely when in use. So no windows isn't odd for a massage room.
Why on earth would you expect a massage room to have windows?