Any thoughts on using a check valve as a thermal relief between two isolation valves?

There's fundamentally no reason you can't use a check valve for thermal relief.  Cryogenic piping systems are generally designed and built to ASME B31.3, so your relief devices do not require ASME stamping.  Only coded pressure vessels require an ASME stamped relief valve per the code.  

When selecting a check valve for cryogenic service, I'd suggest looking for one that is not only rated for the temperature, but one without body seals as they have a tendancy to leak at low temperature.

The valve is very inexpensive (less than $50) and has been extensively tested by a number of large industrial gas companies.  If you're looking for a larger thermal relief, there are a number of other companies that make them.  Be sure to do an analysis to determine the size of the valve needed.

Note also that regardless of what is used, the discharge must be vented to a safe location to eliminate cryogenic burns, asphixiation from inert gasses, potential oxygen enrichment, etc... 

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