This clinical trial studies how well exercise training works in improving immune activity and treatment tolerance and response in patients with non-small cell lung cancer (NSCLC) who are receiving immunotherapy. Immunotherapy may help the body's immune system attack the cancer and may interfere with the ability of tumor cells to grow and spread. The use of immunotherapy for the treatment of NSCLC has been rapidly increasing. Although immunotherapy have shown great potential in cancer therapy, not all patients benefit from this therapy and resistance to it can occur. This could be due to poor immune activity. It has been shown that exercise can enhance systemic immune activity in various ways. The exercise training used in this study is aerobic interval training. Aerobic interval training increases the heart rate and the body's use of oxygen and alternates short periods of intense aerobic exercise with less intense recovery periods. This may cause biological changes which may improve immune activity and treatment response in patients with NSCLC who are receiving immunotherapy.