Mathias Broe’s “Sauna,” selected for World Cinema Dramatic Competition at Sundance, is making history.

“It’s the first time we have a trans person in a leading role in a feature film in Denmark. Otherwise, I wouldn’t have made this movie,” the debuting director tells Variety.

“We don’t have many trans actors in Denmark and in order to carry an entire feature, you need experience. That’s why we chose Nina Rask, who is trans-masc and a big comedian and actor,” Broe tells Variety.

“We ended up using non-professional queer actors in minor roles and did a lot of research within the community to make it as authentic as possible. Creating queer stories can be very tricky, you want to do everything right, but we had to say: ‘We’re not going to make a good film if we do everything ‘right.’ We have to create a...