Short answer
You can bathe in hot thermal waters at Furnas (Terra Nostra Park and Poça da Dona Beija) on São Miguel, and at Caldeira Velha and Ferraria (ocean-fed) also on São Miguel. Other islands like São Jorge and Graciosa have natural pools and thermal spots. Water temperatures and access vary; check locally for opening hours, fees and safety conditions.
General information, not legal or tax advice. Rules and amounts change: confirm with official sources.