Infliximab and Intravenous Immunoglobulin Therapy in Treating Patients With Steroid-Refractory Pneumonitis

Inclusion Criteria: * Patients must be English-speaking and be able to provide informed consent * Patient must be willing and able to undergo arterial blood gas assessment as per the treating investigator. Patient must not have contraindication for arterial blood gas assessment * Women must not be pregnant or breast-feeding due to the potential risk to the fetus of infliximab or IVIG. All females of childbearing potential must have a blood test or urine test within 14 days prior to randomization to rule out pregnancy. A female of childbearing potential is any woman, regardless of sexual orientation or whether they have undergone tubal ligation, who meets the following criteria: 1) has achieved menarche at some point, 2) has not undergone a hysterectomy or bilateral oophorectomy; or 3) has not been naturally postmenopausal for at least 24 consecutive months (i.e., has had menses at any time in the preceding 24 consecutive months). * Women of childbearing potential and sexually active males must be strongly advised to use an accepted and effective method(s) of contraception or to abstain from sexual intercourse for a minimum of 56 days (the duration of their participation in the study) * Patient must have an Eastern Cooperative Oncology Group (ECOG) performance status of 0-3 * Patient may have received any number of lines of prior systemic therapy * Patient may have any solid tumor or hematologic malignancy is eligible * Patient must have received treatment with an anti-PD-1/PD-L1 agent either alone or in combination with another anti-cancer agent, as their most recent therapy prior to development of pneumonitis * Patient must have steroid-refractory pneumonitis defined as: * Grade 2 pneumonitis that has not clinically improved by a Common Terminology Criteria for Adverse Events (CTCAE) grade in greater than 72 hours or maximum of 14 days or * Grade 3 or higher pneumonitis that has not clinically improved by a CTCAE grade in greater than 48 hours or maximum of 14 days with high dose corticosteroids (methylprednisolone or prednisone 1-4 mg/kg/equivalent) as their most recent treatment for pneumonitis, as determined by the treating investigator * Patient may have received anti-PD-1/PD-L1 therapy as standard-of-care or part of a clinical trial * Patient must have had pathogen-negative infectious diagnostic evaluation within 14 days prior to randomization, and at a minimum these should include: blood culture, urine culture, sputum culture, and viral panel: rapid flu, respiratory syncytial virus (RSV), herpes simplex virus (HSV). Empiric antibiotics for culture negative infections are not an exclusion for study entry * Patient must have had a pathogen-negative bronchoscopic assessment of BAL fluid within 14 days prior to randomization. A minimum assessment for pathogens on BAL must include: gram stain, fungal panel, viral panel * Patient must have a negative tuberculosis assessment (TB spot test, quantiferon gold or tuberculin skin test) within 14 days prior to randomization * Patient must have chest computed tomography (CT) scan without contrast performed =\< 14 days before randomization. Patient must not have a contraindication for CT Exclusion Criteria: * Patient must not have clinical evidence of cardiac dysfunction (as determined by the treating investigator) as an alternative diagnosis to steroid-refractory pneumonitis * Patient must not be receiving anti-PD-1/-PD-L1 agent in combination with any of the following anti-cancer agents: docetaxel, cyclophosphamide, gefitinib, erlotinib, osimertinib, crizotinib, bleomycin, afatinib * Patient must not be receiving concurrent radiation therapy to the chest * Patient must not be deemed to have radiation pneumonitis. Patients with a history of stable radiation pneumonitis not requiring corticosteroid therapy within the last 3 months prior to randomization will be allowed on study * Patient must not have pre-existing interstitial lung disease or pneumonitis requiring corticosteroid therapy from any other cause, as determined by the treating investigator * Patient must not have an absolute contraindication to IVIG or infliximab, including: clinical history of severe hypersensitivity reaction, selective IgA deficiency, active hepatitis B, active tuberculosis, active human immunodeficiency virus/acquired immunodeficiency syndrome (HIV/AIDS) where a study subject has a CD4 count of =\< 200 at screening, or drug interaction