Dendritic Cell Therapy With Pembrolizumab for Metastatic or Unresectable Melanoma

Inclusion Criteria: * Histologically or cytologically confirmed diagnosis of unresectable stage III or metastatic melanoma (stage IV) not amenable to curative local therapy * Documented progression of disease after initiation of therapy with OR lack of response to therapy with a PD-1- or PD-L1-targeting monoclonal antibody (pembrolizumab, nivolumab, etc) after at least 18 weeks; NOTE: This treatment could have been at any time prior to registration * Eastern Cooperative Oncology Group (ECOG) performance status (PS) 0 or 1 * Minimum of 3 radiographically apparent lesions such that there is: * Minimum of one lesion in areas that have not been previously irradiated that is considered measurable by Response Evaluation Criteria in Solid Tumors (RECIST) 1.1 criteria AND * Minimum of two lesions in areas that have not been previously irradiated that are determined by interventional radiology to be of a size and in a location that a single probe could ablate at least 75% of the lesion; Note: Hepatic lesions measuring =\< 3 cm may be treated, as determined by interventional radiology; Note: Brain metastases are not acceptable as lesions defining measurable disease, nor are they candidate lesions for cryoablation * Adequate venous access for apheresis as assessed by apheresis team; NOTE: If a central venous catheter is required for apheresis, the patient is not eligible * Absolute neutrophil count (ANC) \>= 1000/mm\^3 obtained =\< 14 days prior to registration * Absolute lymphocyte count \>= 500/mm\^3 obtained =\< 14 days prior to registration * Platelet count \>= 100,000/mm\^3 obtained =\< 14 days prior to registration * Hemoglobin \>= 10 g/dL obtained =\< 14 days prior to registration * Total bilirubin =\< 1.5 x upper limit of normal (ULN), unless due to Gilbert?s disease obtained =\< 14 days prior to registration * Aspartate transaminase (AST)/serum glutamic-oxaloacetic transaminase (SGOT) and alanine transaminase (ALT)/serum glutamate pyruvate transaminase (SGPT) =\< 2.5 x ULN obtained =\< 14 days prior to registration * Creatinine =\< 1.5 x ULN or calculated creatinine clearance \>= 60 mL/min for subject with creatinine ? 1.5 x institutional ULN obtained =\< 14 days prior to registration * Negative serum pregnancy test for persons of childbearing potential =\< 7 days prior to registration * Provide written informed consent * Willing to return to the enrolling institution for follow-up (during active treatment and active monitoring phase of the study) * Willing to provide tissue and blood samples for research purposes * Willing to use adequate contraception while on the study and until 120 days after the last dose of study drug Exclusion Criteria: * Any of the following: * Pregnant persons * Nursing persons * History of human immunodeficiency virus (HIV), hepatitis B, or hepatitis C * Active tuberculosis or active, non-infectious pneumonitis * Evidence of interstitial lung disease * Active infection requiring the use of systemic antibiotics * Symptomatic congestive heart failure (New York Heart Association classification III or IV cardiovascular disease, myocardial infarction =\< 6 months prior to registration, unstable angina pectoris or cardiac arrhythmia =\< 3 months prior to registration, or cardiac arrhythmia * Currently receiving or have received any other investigational agent considered as a treatment for the primary neoplasm =\< 21 days prior to registration * History of other primary malignancy requiring systemic treatment =\< 3 years prior to registration; patients must not be receiving chemotherapy or immunotherapy for another cancer; patients must not have another active malignancy requiring active treatment; EXCEPTIONS: Non-melanotic skin cancer or carcinoma-in-situ of the cervix * Failure to recover from prior side effects of immune checkpoint inhibitor therapy to =\< grade 1; NOTE: Patients will not be excluded for adrenal insufficiency or hypothyroidism secondary to immunotherapy provided they are receiving hormonal replacement * Major surgery =\< 4 weeks prior to registration * Prior chemotherapy, targeted therapy, or radiation therapy =\< 2 weeks prior to registration or who has not recovered (i.e. to =\< grade 1 or baseline) from an adverse event due to the previously administered therapy * History of hypersensitivity and anaphylactoid reactions to pneumococcal vaccine or any component of the formulation, including diphtheria toxoid * Active autoimmune disease such as Crohn?s disease, rheumatoid arthritis, Sjogrens? disease, systemic lupus erythematosus, or similar conditions requiring systemic treatment within the past 3 months or a documented history of clinically severe autoimmune disease/syndrome difficult to control in the past; EXCEPTIONS (the following are allowed): * Vitiligo or resolved childhood asthma/atopy * Intermittent use of bronchodilators or local steroid injections * Hypothyroidism stable on hormone replacement * Diabetes stable with current management * History of positive Coombs test but no evidence of hemolysis * Psoriasis not requiring systemic treatment * Conditions not expected to recur in the absence of an external trigger * Secondary adrenal insufficiency from previous hypophysitis, currently on physiologic replacement steroid dosing only * Coagulopathy, including the use of therapeutic anticoagulants that cannot be discontinued for the cryoablation procedure; NOTE: Heparin for line patency without detectable lab abnormalities for coagulation will be allowed * Corticosteroid use =\< 14 days prior to registration; NOTE: Patients must be off systemic corticosteroids for at least 2 weeks prior to registration; this includes oral or IV route of administration; patients on chronic corticosteroids for adrenal insufficiency or other reasons may enroll if they receive less than 10 mg/day of prednisone (or equivalent); patients receiving inhaled or intranasal or intra-articular steroids are not excluded * Active central nervous system (CNS) metastasis; NOTE: Patients with prior brain metastases that are asymptomatic without corticosteroid use and stable or improved \>= 90 days after treatment with surgery or radiation are not excluded * Receipt of a live vaccine =\< 30 days prior to registration