Dendritic Cell Therapy, Cryosurgery, and Pembrolizumab in Treating Patients With Non-Hodgkin Lymphoma

Inclusion Criteria: * Age \>= 18 years * Histological confirmation of biopsy-proven non-Hodgkin lymphoma, excluding chronic lymphocytic leukemia, primary central nervous system (CNS) lymphoma and Burkitt's lymphoma; Note: small lymphocytic lymphoma (SLL) is allowed * Patients with indolent non-Hodgkin lymphoma (NHL) must have had \>= 1 regimen of rituximab-containing regimen; Note: this includes follicular lymphoma (FL), marginal lymphoma and mucosa-associated lymphoid tissue (MALT) * Patients with aggressive NHL must have had \>= 2 regimens; Note: This includes diffuse large B cell lymphoma (DLBCL), mantle cell lymphoma (MCL), primary mediastinal large B-cell lymphoma (PMBCL), and T cell lymphoma * Patient with aggressive NHL must have received prior therapy - at a minimum: * Anti-CD20 monoclonal antibody unless tumor is CD20 negative and * An anthracycline containing regimen * Transformed FL must have had therapy for FL and be refractory to chemotherapy for DLBCL * Chemotherapy refractory disease in aggressive NHL is defined as * Stable disease of =\< 12 months or progressive disease as best response to most recent chemotherapy containing regimen * Disease progression or recurrence =\< 12 months of prior autologous stem cell transplantation (SCT) * Patients with aggressive NHL must have failed autologous hematopoietic stem cell transplantation (HSCT), or are ineligible or not consenting to autologous HSCT * Patient must have at least 3 measurable lesions that a…