Systemic chemotherapy is not used in non-invasive bladder cancer because the bladder is a "contained" organ, not really open to the entire rest of the body under normal circumstances. I believe that the thermo-chemtherapy you refer to is the use of local administration of a therapeutic agent such as mitomycin along with heat. I am under the impression that this is in use in the US in multiple places, but cannot tell you specific places. I believe that MD Anderson conducted clinical trials of this a few years ago. You might contact them and inquire.
As for immunotherapy, it is used in many places and has had some real success. Here is a brief summary
www.cancer.org/cancer/bladder-cancer/treating/immunotherapy-for-bladder-cancer.html
Sara Anne