Ipilimumab + Nivolumab + Cryotherapy in Metastatic or Locally Advanced Soft Tissue Sarcoma

The purpose of this Phase 2 study is to

1. find out if the study drugs (ipilimumab plus nivolumab) in combination with cryotherapy will help participants with metastatic or locally advanced soft tissue sarcoma;.
2. find out how safe are ipilimumab plus nivolumab given in combination with cryotherapy, and what side effects may be related to treatment.
3. find out how do the study drugs in combination with cryotherapy work in soft tissue sarcoma.

Primary Objectives:

1) Assess whether the rate of clinical benefit is sufficiently high to merit promise for further study

Secondary Objectives:

1. Characterize the 6-month progression-free survival rate
2. Assess whether the treatment yields a reasonably safe and tolerable profile

Eligibility Criteria:
Inclusion Criteria:

* Unresectable or metastatic soft tissue sarcoma
* ≥ 1 prior systemic therapy for sarcoma, including adjuvant systemic therapy
* Age ≥ 18 years
* 4 Life expectancy \> 3 months
* Eastern Cooperative Oncology Group (ECOG) performance status 0 or 1
* Lab values as below:

Absolute neutrophil count (ANC) ≥ 1,000/mm\^3 Platelet count ≥ 75,000/mm\^3; Creatinine ≤ 1.5 x upper limit of normal (ULN) OR calculated (calc.); creatinine clearance \> 45 mL/min using the lean body mass formula only; Total bilirubin ≤ 1.5 x ULN in absence of Gilbert disease (total bilirubin ≤ 3 x ULN with Gilbert); also, if hyperbilirubinemia is clearly attributed to liver metastases total bilirubin ≤ 3 x ULN is permitted AST/ALT ≤ 3 x ULN;Thyroid stimulating hormone (TSH) within normal limits (WNL);supplementation is acceptable to achieve a TSH WNL; in subjects with abnormal TSH if free T4 is normal and subject is clinically euthyroid, subject is eligible

* Any toxic effects of prior therapy (except alopecia) must be resolved to NCI CTCAE, version 5.0, Grade 1 or less
* Ability to understand and the willingness to sign a written informed consent
* Women of childbearing potential (WOCBP) receiving nivolumab must be willing to adhere to contraception for a period of 5 months after the last dose of nivolumab. Men receiving nivolumab and who are sexually active with WOCBP will be instructed and must be willing to adhere to contraception for a period of 7 months after the last dose of nivolumab.

Exclusion Criteria:

* Prior therapy with ipilimumab or nivolumab, or any agent targeting programmed cell death 1 (PD-1), PD-L1 or cytotoxic T-lymphocyte-associated protein 4 (CTLA-4)

History of the following:

* Active known or suspected autoimmune disease
* Known human immunodeficiency virus (HIV) (Subjects with lymphocytes \> 350 cluster of differentiation (CD)4+ cells and no detectable viral load are eligible)
* Hepatitis B

Hepatitis B can be defined as:

Hepatitis B surface antigen (HBsAg) \> 6 months Serum hepatitis B virus (HBV) deoxyribonucleic acid (DNA) 20,000 IU/mL (105 copies/mL), lower values 2,000 to 20,000 IU/mL (104 to 105 copies/mL) are often seen in hepatitis B-e antigen (HbeAg)-negative chronic hepatitis B Persistent or intermittent elevation in alanine aminotransferase (ALT)/alanine aminotransferase (AST) levels. Liver biopsy showing chronic hepatitis with moderate or severe necroinflammation

* Hepatitis C Hepatitis C antibody (Ab) positive Presence of hepatitis C virus (HCV) ribonucleic acid (RNA) 3.2.2.5 Known active pulmonary disease with hypoxia defined as: Oxygen saturation \< 85% on room air or Oxygen saturation \< 88% despite supplemental oxygen
* Systemic treatment with either corticosteroids (\> 10 mg daily prednisone equivalents) or other immunosuppressive medications within 7 days of registration
* Received any live/attenuated vaccine (eg, varicella, zoster, yellow fever, rotavirus, oral polio and measles, mumps, rubella (MMRI) within 30 days before initiation of treatment on this protocol.
* If female, pregnant or lactating. (Women of childbearing potential are required to have a negative pregnancy test within 24 hours prior to the initial administration of study drug)