CMP-001 and INCAGN01949 for Patients With Stage IV Pancreatic Cancer and Other Cancers Except Melanoma

Inclusion Criteria: * Be willing and able to provide written informed consent for the trial * Histologically or cytologically confirmed pancreatic adenocarcinoma with metastasis or other locally advanced un-resectable solid tumor malignancies (during the phase Ib and pancreatic cancer during phase II) deemed appropriate by the investigator except melanoma * Patients will have had at least 2 prior therapies for locally advanced, unresectable and/or metastatic disease. Adjuvant therapy will count as one line of therapy if disease progression occurred during treatment or within 6 months of completion. Patients with metastatic pancreatic cancer must have received either fluorouracil/Irinotecan/leucovorin calcium/oxaliplatin (FOLFIRINOX) or a gemcitabine-based regimen as one of their prior lines of therapy. Patients with germline BRCA mutations must have received olaparib as maintenance therapy * Be willing to undergo an image-guided biopsy of a tumor lesion at baseline, after 2 weeks of IT injection and 4 weeks of IT injection (week 4 and 6), unless tumor is considered inaccessible or biopsy is otherwise considered not in the patients best interest * Have a performance status of 0 or 1 on the Eastern Cooperative Oncology Group (ECOG) performance scale * Subjects must have at least one extra-central nervous system (CNS), non-bone tumor lesion amenable for IT injection \>= 1.5 cm and that is not in close proximity or encasing crucial structures such as major blood vessels, trachea, nerve bundles etc. Measurable disease is required in a minimum of two lesions (one injected and one other) and there must be at least one measurable lesion in addition to the one being injected * Absolute neutrophil count (ANC) \>= 1.5 x 10\^9/L * Platelets \>= 100 x 10\^9/L * Hemoglobin \>= 9 g/dL without transfusions within 7 days of assessment (transfusions are allowed prior to this period) * Serum creatinine =\< 1.5 X upper limit of normal (ULN) OR measured or calculated creatinine clearance (glomerular filtration rate \[GFR\] can also be used in place of creatinine or creatinine clearance \[CrCl\]) \>= 60 mL/min for subject with creatinine levels \> 1.5 X institutional ULN * Creatinine clearance should be calculated per institutional standard * Serum total bilirubin =\< 1.5 X ULN OR * Aspartate transaminase (AST) (serum glutamic-oxaloacetic transaminase \[SGOT\]) and alanine transferase (ALT) (serum glutamate pyruvate transaminase \[SGPT\]) =\< 2.5 X ULN OR =\< 5 X ULN for subjects with liver metastases * Albumin \>= 2.5 mg/dL * International normalized ratio (INR) or prothrombin time (PT) =\< 1.5 X ULN * NOTE: Low molecular weight heparin at full dose or prophylactic dose is allowed as long as the treating physician deems it safe to hold the low molecular weight heparin (LMWH) on the day before and the day of the intra-tumoral injection. No other anti-coagulants are permitted * Because of the intratumor injections patients cannot be on any anticoagulants other than LMWH * Activated partial thromboplastin time (aPTT) =\< 1.5 X ULN * NOTE: Low molecular weight heparin at full dose or prophylactic dose is allowed as long as the treating physician deems it safe to hold the LMWH on the day before and the day of the intra-tumoral injection. No other anti-coagulants are permitted. * Because of the intratumor injections patients cannot be on any anticoagulants other than LMWH * Female participants of childbearing potential should have a negative serum pregnancy test within 24 hours prior to receiving first dose of trial medication * A female participant is eligible to participate if she is not pregnant, not breastfeeding, and at least one of the following conditions applies: * Not a woman of childbearing potential (WOCBP) * A female of child-bearing potential is any woman (regardless of sexual orientation, having undergone a tubal ligation, or remaining celibate by choice) who meets the following criteria: * Has not undergone a hysterectomy or bilateral oophorectomy; or * Has not been naturally postmenopausal for at least 12 consecutive months (i.e., has had menses at any time in the preceding 12 consecutive months) OR * A WOCBP who agrees to follow the contraceptive guidance during the treatment period and for at least 180 days after the last dose of trial treatment * Male participants must agree to use contraception as detailed in the full protocol during the treatment period and for at least 120 days after the last dose of trial treatment and refrain from donating sperm during this period Exclusion Criteria: * Has a diagnosis of immunodeficiency or is receiving systemic steroid therapy or any other form of immunosuppressive therapy within 7 days prior to the first dose of trial treatment. The use of physiologic doses of corticosteroids may be approved after consultation with the Investigator. If patients received prior ipilimumab or anti-CTLA4 compound and had adrenal insufficiency, treat these subjects with stress dose steroids prior to intratumoral injections. Patients may receive stress steroids orally or intravenously (IV) before the procedure * Hypersensitivity to CMP-001 (TLR9 agonist) or INCAGN01949 (anti-OX40) or any of its excipients * Has had a prior anti-cancer monoclonal antibody (mAb) within 4 weeks prior to week 1/day 1, or who has not recovered (i.e., =\< grade 1 or to baseline) from adverse events due to agents administered more than 4 weeks earlier * Has had prior chemotherapy, investigational agent, targeted small molecule therapy, or radiation therapy within 3 weeks (or 5 half-lives whichever is shorter) prior to week 1/ day 1 or who has not recovered (i.e., =\< grade 1 or at baseline) from adverse events due to a previously administered agent(s) * Note: Patients with =\< grade 2 neuropathy are an exception to this criterion and may qualify for the trial * Note: If patient received major surgery, they must have recovered adequately from the toxicity and/or complications from the intervention prior to starting therapy * Has a known additional malignancy that is progressing or requires active treatment. Exceptions include basal cell carcinoma of the skin or squamous cell carcinoma of the skin that has undergone potentially curative therapy or in situ cervical cancer. Other malignancies which have been treated with curative intent, or for which patients are not receiving active therapy, may be considered upon discussion with the investigator * Has known active central nervous system (CNS) metastases and/or carcinomatous meningitis. Patients with previously treated brain metastases may participate provided they are stable (without evidence of progression by imaging for at least four weeks prior to the first dose of trial treatment and any neurologic symptoms have returned to baseline), have no evidence of new or enlarging brain metastases, and are not using steroids for at least 7 days prior to trial treatment. Use of prophylactic anti-epileptic drugs is permitted. This exception does not include carcinomatous meningitis, which is excluded regardless of clinical stability * Has active autoimmune disease that has required systemic treatment in the past 2 years (i.e. with use of disease modifying agents, corticosteroids or immunosuppressive drugs). Replacement therapy (e.g., thyroxine, insulin, or physiologic corticosteroid replacement therapy for adrenal or pituitary insufficiency, etc.) is not considered a form of systemic treatment * Has history of (non-infectious) pneumonitis that required steroids or current pneumonitis * Has an active bacterial infection requiring systemic therapy * Has a history or current evidence of any condition, therapy, or laboratory abnormality that might confound the results of the trial, interfere with the patient's participation for the full duration of the trial, or is not in the best interest of the patient to participate, in the opinion of the treating investigator * Has known psychiatric or substance abuse disorders that would interfere with cooperation with the requirements of the trial * Has a known history of human immunodeficiency virus (HIV) (HIV 1/2 antibodies) * Has active hepatitis B or C. Treated hepatitis C with sustained virologic response, and patients who are negative for hepatitis B surface antigen (sAg) are not excluded * Note: Without known history, testing needs to be performed to determine eligibility * Current, serious, clinically significant cardiac arrhythmias as determined by the treating investigator * Has received a live vaccine within 30 days of planned start of trial therapy * Note: Seasonal influenza vaccines for injection are generally inactivated flu vaccines and are allowed; however intranasal influenza vaccines (e.g., Flu-Mist) are live attenuated vaccines, and are not allowed * Patients must not be receiving any anticoagulation. Low molecular weight heparin at full dose or prophylactic dose is allowed as long as the treating physician deems it safe to hold the LMWH on the day before and the day of the intra-tumoral injection * Patients should not be on aspirin or any anti-platelet agent. Patients may have been receiving aspirin 81 mg if deemed safe by the investigator to hold aspirin for the duration of the study, starting at least 7 days prior to start of treatment