Proof

Despite living along side a quite active geological fault zone, there's little to note on Croatia's hot springs.

With most of the country lapping up a huge chunk of the Adriatic's west coast, it's mostly in the northern more mountainous areas where you'll discover geothermal sources; though there's little left to enjoy in nature. See f.i. this link to spa's in Croatia

On a recent non-soaking sojourn, I visited Croatia's city of Split which revels in the jewels of it's past: the Diocletian palace. 
Though the palace may once have been on a strip of land between a lagoon, peninsula and the sea it may well be, that it's origins are to be traced back to those with a geothermal origin.
That's at least what Rusko & Balog (2007) suggest:

'Numerous researchers believe that the Emperor Diocletian used the sulphur spring and that it was one reason for building the Palace at that site. This cannot be proved since there are no written documents'.

Well, they mention sulphurous origins, not necessarily thermal. Could they be hot? Not. According to the same source:

'The highest temperature recorded at the Split spa sulphur spring was 23.75° (30 September 1987) while the lowest was 14°C (20 January 2004)'.

Evidence
Let's see what we can find.

Where the palace was once lapping the shores, there's now a café-lined strada (the Riva) which passes from the market south of the palace to the yacht harbour to the north. Take your time and stroll along the Riva and take in the surroundings; but above all smell. Once you have passed the palace walls you'll notice the whiff of sulphur.

This whiff comes from the drain of the source of sulphorous waters. 

It's actually known that Split possess sulphur baths. Tripadvisor: 

'... the smell has been here for 2000 years from an underground sulfur spring that legend says is one of the reasons Diocletian built his palace here--sulfur was thought of and still is used medically to cure certain bone ailments. The fabulous art deco building a stone;s throw from where you were sitting is actually a clinic that still does this treatment and the 100 year old fish market next to it was purposely built there to take advantage of the fact that flies, like humans, are also repelled by such fumes'.

 Virtualtourist (2016) adds some info on the bathing building itself:

'I am not sure if there excist any other Secession building in Split besides Sulphur baths in Marmontova street. This construction was built in the very beginning of the 19th century and is fine example of the Art Nouveau style in Split. It is designed by a local architect who studied in Vienna and came back home "infected" by the Secession.

The spa is still working (its smell could be feel for milles around) and serve as an rehabilitation center for various rheumatic problems'

Where is this building?

Head inland from the Riva up the strollable Marmontova street and 100m from the harbour on your right you'll see the elaborate decorated Art Deco building Sumporne Toplice. This is just before the fish market. 

The building apparently still houses / functions as a sulphur bath though there were precious little clues as to whether it was till in function other than a plaque with this text:

'This building of 1903 designed by Kamilo Tončić is an impotant specimen, with its richly decorative elevations and interiors, of Croatian Art Noveau architecture. It was built over natural sulphur springs that have been used for therapeutic purposes since the 18th century'.

The building itself is neatly adorned such as in the picture below:

Though the Vitaltourist source above mentions it still functioning, this article notes how it needs to be revived possibly to put Split on par with the German spa town of Baden-Baden.

A bit of history by Vlak (2000) which suggests that bathing halted before start of the Millennium:

'The sulphurous waters of Split have been in traditional medicinal use for a full 17 centuries, ever since the construction of the Palace of the Roman Emperor Diocletian. The "Sulphur Baths" of Split (Croatia) reached their greatest recognition and popularity at the beginning of the 20th century, when the sulphurous spring was declared to be the source of some of the highest quality medicinal mineral water in Europe. However, interest in balneology and climatotherapy, hitherto so popular in the area, subsequently declined. The "Sulphur Baths" gradually lost their importance and medical use of the sulphurous water gave way to modern forms of physical therapy. The beginning of the 1990s marked the end of commercial and every other use of the mineral water in Split'.

As could be expected, there doesn't seem to be much evidence of any action or possibility to admire the buildings interior. It does seem odd at the least that despite all the assurances of how a sulphur bath is a benefit to anyone's health, the waters simply drain into the harbour ... 

Still it could be worse. If one delves further in Splits history, where now stands the iconic Hajduk FC stadium were public mud baths with sulphuric mud (source).

Notes

Rusko, M & K. Balog (2007) Characteristics and origin of the Spilt sulphur spa (Southern Croatia). Manažérstvo životného prostredia 2007 Management of Environment ´2007 zo VII. konferencie so zahranicnou úcastou konanej 5. - 6. 1. 2007 v Jaslovských Bohuniciach. Proceedings of the International Conference, Jaslovské Bohunice, 5-6 January 2007

Vlak, T. (2000) From the history of the Split hot springs Reumatizam. 2000;47(1):25-30.