The goal of Part 1 of this clinical research study is to find the highest tolerable dose of nivolumab that can be given either with radiation therapy alone or in combination with radiation and ipilimumab, in patients with NSCLC. The goal of Part 2 of this study is to learn if the dose of nivolumab found in Part 1 when given with radiation therapy and ipilimumab can help to control the disease.