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 lymphocy…