 Patients undergo apheresis over 4 hours on day 1 or course 1. Patients also receive pembrolizumab intravenously IV over 30 minutes on day 1. Courses with pembrolizumab repeat every 21 days for up to 2 years in the absence of disease progression or unacceptable toxicity. Within 36 hours after receiving pembrolizumab, patients undergo cryosurgery over 45 minutes on day 1 or 2 of courses 2 and 3. Patients also receive mature dendritic cells intratumorally IT on day 1 or 2 of courses 2 and 3 after cryosurgery. 