This phase II trial studies how well intra-tumor injection of double checkpoint inhibitors work when given alone and in combination with chemotherapy or/and bevacizumab in treating patients with previously untreated stage I-IIIA non-small cell lung cancer. Immunotherapy with monoclonal antibodies, such as ipilimumab, pembrolizumab or durvalumab, may help the body's immune system attack the tumor, and may interfere with the ability of tumor cells to grow and spread. Drugs used in interventional radiological chemotherapy, such as idabubicin, can directly kill the cancer cell and release tumor antigens to activate DC function in situ. Giving intra-tumor injection of checkpoints inhibitors with or without chemotherapy and/or bevecizumab may work better than in vein infusion of the drugs in treating patients with non-small cell lung cancer.