This might be off but I think for me it is because the heat is hitting my upper body and head.

Your head is where you lose or maintain a lot of heat. That is why we wear hats.

I can take a bath and be just fine as long as I am not in anything deeper than my waist. Once the warm water goes to my upper body area I start to get sick.

So, just my opinion. I think it has to do with the upper body and head over heating.