Yep, there sure are. Herodotus mentions Scythians burning hemp seeds and inhaling the vapors. The quote, in full, reads:

The Scythians, as I said, take some of this hemp-seed, and, creeping under the felt coverings, throw it upon the red-hot stones; immediately it smokes, and gives out such a vapour as no Grecian vapour-bath can exceed; the Scyths, delighted, shout for joy, and this vapour serves them instead of a water-bath; for they never by any chance wash their bodies with water.

Source: Herodotus, Histories, Vol. 4.