 This phase III trial studies how well giving azacitidine together with etanercept works in treating patients with myelodysplastic syndromes MDS. Drugs used in chemotherapy, such as azacitidine, works in different ways to stop the growth of cancer cells, either by killing the cells or by stopping them from dividing. Chemoprotective drugs, such as etanercept, may protect normal cells from the side effects of chemotherapy 