Search on the web and you can find many fun and interesting things. One such thing is the following YouTube video where Ben Uyeda (I believe that who is in the video) creates this DIY wood-fired hot tub and it does look amazing. However, we're not all as skilled as he is.
I would also hazard a guess as it is probably cheaper (as well as easier) to buy an inflatable hot tub. Just saying.
Anyhow, here is the video for you to enjoy.