We study the problem of performance optimization of closed -loop control systems with unmodeled dynamics. Bayesian optimization (BO) has been demonstrated to be effective for improving closed -loop performance by automatically tuning controller gains or reference setpoints in a model -free manner. However, BO methods have rarely been tested on dynamical systems with unmodeled constraints and time -varying ambient conditions. In this paper, we propose a violation -aware contextual BO algorithm (VACBO) that optimizes closed -loop performance while simultaneously learning constraint -feasible solutions under time -varying ambient conditions. Unlike classical constrained BO methods which allow unlimited constraint violations, or 'safe' BO algorithms that are conservative and try to operate with near -zero violations, we allow budgeted constraint violations to improve constraint learning and accelerate optimization. We demonstrate the effectiveness of our proposed VACBO method for energy minimization of industrial vapor compression systems under time -varying ambient temperature and humidity.