Ipilimumab + Nivolumab + Cryotherapy in Metastatic or Locally Advanced Soft Tissue Sarcoma

Inclusion Criteria: * Unresectable or metastatic soft tissue sarcoma * ≥ 1 prior systemic therapy for sarcoma, including adjuvant systemic therapy * Age ≥ 18 years * 4 Life expectancy \> 3 months * Eastern Cooperative Oncology Group (ECOG) performance status 0 or 1 * Lab values as below: Absolute neutrophil count (ANC) ≥ 1,000/mm\^3 Platelet count ≥ 75,000/mm\^3; Creatinine ≤ 1.5 x upper limit of normal (ULN) OR calculated (calc.); creatinine clearance \> 45 mL/min using the lean body mass formula only; Total bilirubin ≤ 1.5 x ULN in absence of Gilbert disease (total bilirubin ≤ 3 x ULN with Gilbert); also, if hyperbilirubinemia is clearly attributed to liver metastases total bilirubin ≤ 3 x ULN is permitted AST/ALT ≤ 3 x ULN;Thyroid stimulating hormone (TSH) within normal limits (WNL);supplementation is acceptable to achieve a TSH WNL; in subjects with abnormal TSH if free T4 is normal and subject is clinically euthyroid, subject is eligible * Any toxic effects of prior therapy (except alopecia) must be resolved to NCI CTCAE, version 5.0, Grade 1 or less * Ability to understand and the willingness to sign a written informed consent * Women of childbearing potential (WOCBP) receiving nivolumab must be willing to adhere to contraception for a period of 5 months after the last dose of nivolumab. Men receiving nivolumab and who are sexually active with WOCBP will be instructed and must be willing to adhere to contraception for a period of 7 months after the last dose of nivolumab. Exclusion Criteria: * Prior therapy with ipilimumab or nivolumab, or any agent targeting programmed cell death 1 (PD-1), PD-L1 or cytotoxic T-lymphocyte-associated protein 4 (CTLA-4) History of the following: * Active known or suspected autoimmune disease * Known human immunodeficiency virus (HIV) (Subjects with lymphocytes \> 350 cluster of differentiation (CD)4+ cells and no detectable viral load are eligible) * Hepatitis B Hepatitis B can be defined as: Hepatitis B surface antigen (HBsAg) \> 6 months Serum hepatitis B virus (HBV) deoxyribonucleic acid (DNA) 20,000 IU/mL (105 copies/mL), lower values 2,000 to 20,000 IU/mL (104 to 105 copies/mL) are often seen in hepatitis B-e antigen (HbeAg)-negative chronic hepatitis B Persistent or intermittent elevation in alanine aminotransferase (ALT)/alanine aminotransferase (AST) levels. Liver biopsy showing chronic hepatitis with moderate or severe necroinflammation * Hepatitis C Hepatitis C antibody (Ab) positive Presence of hepatitis C virus (HCV) ribonucleic acid (RNA) 3.2.2.5 Known active pulmonary disease with hypoxia defined as: Oxygen saturation \< 85% on room air or Oxygen saturation \< 88% despite supplemental oxygen * Systemic treatment with either corticosteroids (\> 10 mg daily prednisone equivalents) or other immunosuppressive medications within 7 days of registration * Received any live/attenuated vaccine (eg, varicella, zoster, yellow fever, rotavirus, oral polio and measles, mumps, rubella (MMRI) within 30 days before initiation of treatment on this protocol. * If female, pregnant or lactating. (Women of childbearing potential are required to have a negative pregnancy test within 24 hours prior to the initial administration of study drug)