This research study is studying cryoablation (a treatment to kill cancer cells with extreme cold) combined with continued treatment with current immune checkpoint inhibitor as a possible treatment for lung cancer.

This research study is a Phase II clinical trial. Phase II clinical trials test the safety and effectiveness of an investigational intervention to learn whether the intervention works in treating a specific disease. "Investigational" means that the intervention is being studied.

The FDA (the U.S. Food and Drug Administration) has approved each aspect of this therapy, however this research study is unique because it combines them as a treatment option for the participant's disease. That has not been approved by the FDA.

In this research study, The investigators are...

• Continuing the participant on the participant's immune checkpoint inhibitor therapy even though the participant's doctor believes that the participant's cancer is growing. Since the participant's cancer is growing, there is only a small chance the participant will respond to continued drug therapy.
• Taking a biopsy of the participant's cancer to confirm there is cancer growing in the location to be treated.
• Performing cryoablation on an enlarging tumor. This involves passing a special needle into the participant's body (cryoprobe) to freeze tumor and kill a small part (not all) of the participant's cancer. Your immune system will respond to the damage caused by freezing part of the participant's tumor.
• The investigators are hoping to demonstrate that combining post-progression immune checkpoint inhibitor therapy with cryoablation is safe, and may induce and/or restore an immune response to cancer in other places in the participant's body

Inclusion Criteria:

• Adult patients (age > 18) with stage IV lung cancer receiving commercial supply immune checkpoint inhibitor therapy with progression of disease, and for whom an additional 4-6 weeks of current therapy (post-progression therapy) is acceptable as standard therapy
• Must have a growing tumor amenable to percutaneous image-guided cryoablation based on routine Interventional Radiology criteria
• Must have measurable disease (by RECIST) independent of the lesion to be ablated. Measurable disease is defined as at least one lesion that can be accurately measured in at least one dimension (longest diameter to be recorded for non-nodal lesions and short axis for nodal lesions) as ≥20 mm with conventional techniques or as ≥10 mm with spiral CT scan, MRI, or calipers by clinical exam. See Section 11 for the evaluation of measurable disease.

Exclusion Criteria:

• Participants who are receiving an investigational agent(s)
• Uncontrolled intercurrent illness including, but not limited to, ongoing or active infection, symptomatic congestive heart failure, unstable angina pectoris, cardiac arrhythmia, or psychiatric illness/social situations that would limit compliance with study requirements.
• Pregnant women are excluded from this study because immune checkpoint inhibitors have the potential for teratogenic or abortifacient effects. Because there is an unknown but potential risk for adverse events in nursing infants secondary to treatment of the mother with immune checkpoint inhibitors, breastfeeding should be discontinued.