 This phase IbII trial studies how well dendritic cell therapy after cryosurgery in combination with pembrolizumab works in treating patients with stage III-IV melanoma that cannot be removed by surgery. Vaccines made from a persons white blood cells mixed with tumor proteins may help the body build an effective immune response to kill tumor cells. Cryosurgery, also known as cryoablation or cryotherapy, kills tumor cells by freezing them. Monoclonal antibodies, such as pembrolizumab, may block tumor growth in different ways by targeting certain cells. Giving dendritic cell therapy after cryosurgery in combination with pembrolizumab may work better in treating patients with melanoma. 