I would like to build a steam room and believe the best material for the walls is cement board. Normally this is secured to wooden stud work with a waterproof membrane using screws. As the walls to the steam room will be block work, would it be possible to stick the cement board instead, using ordinary dry lining adhesive?
Why are you using cement block to construct the room? it would be much easier to frame it out with wood and line the inside with tongue and groove cedar planking. I have been in many steam rooms and seen many store bought ones and cedar seems to be the most versatile interior material to use. If you are intent on doing the block then might I suggest stripping the inside and still going with the cedar. I think the glue and cement board is a bad idea and maintenance down the road.
I would still screw the cement board to the concrete block. Don't use the adhesive, or better still use them both. Some may say that the concrete block would be enough by itself, but it is porous and if you get a small crack in the tile or grout it will eventually let water, (moister), seep into the studs. Be safe than sorry as bathrooms need to last, as they are expensive to repair.
I am not sure why you need cememt board, which is the substrate of choice for tile, when you have concrete block, which is already waterproof, and will support the weight of tile. My basement bathroom has the tile applied directly to the poured concrete walls, no cement board needed. There is also a Fiberglas product that can be painted onto concrete block walls to seal them and make them smoother. Years ago, my husband built the local vet a new clinic and used the fiberglas to seal the concrete block walls, and also to make it possible to use a power washer to clean the entire building's walls and floors for sanitation. This product is advertised as being able to bond concrete blocks into a wall without mortar between the blocks. Sorry I can't remember the product name, but I do believe it was a Fiberglas product, though by now there are probably generic fiberglass paints on the market.