Inclusion Criteria:

          -  Subjects must be willing and able to provide written informed consent for the trial
             and HIPAA authorization for release of personal health information. NOTE: HIPAA
             authorization may be included in the informed consent or obtained separately.

          -  Subjects must be ≥ 18 years of age.

          -  Individuals with stage IIIB or IV, unresectable non-small cell lung cancer (NSCLC) who
             have not received prior chemotherapy for Stage IIIB or IV disease, and who are not
             candidates for curative surgery or radiation therapy.

          -  ECOG performance status (PS) 0-1

          -  Measurable disease by RECIST v1.1 criteria

          -  Prior to registration, all subjects must have archival tissue available. For subjects
             who have no archival tissue, but have PD-L1 testing results using the Dako 22C3
             antibody, subjects will be permitted to enroll without submitting tissue. If the
             patient has not had prior testing and no acceptable archival tissue is available,
             subjects must be willing to consent to providing a pre-treatment biopsy for PD-L1
             testing. Regardless of PD-L1 testing status, archival tissue will be requested for
             research testing if available.

          -  Phase II subjects must be willing to consent to providing a mandatory post-treatment
             core biopsy for research if clinical feasible.

          -  Women are eligible to participate if they are of non-childbearing potential or have
             documentation of a negative pregnancy test (serum or urine β-hCG) within 3 days of
             registration. Sexually active pre-menopausal women of childbearing potential must
             agree to use adequate, highly effective contraceptive measures, starting with the
             first dose of study drug and for 120 days after the last dose of last study drug.
             Effective birth control includes (a) intrauterine device (IUD) plus one barrier
             method; (b) oral, implantable, or injectable contraceptives plus one barrier method;
             or (c) 2 barrier methods. Effective barrier methods are male or female condoms,
             diaphragms, and spermicides (creams or gels that contain a chemical to kill sperm).
             Women of childbearing potential are those who have not been surgically sterilized or
             have not been free from menses for ≥ 1 year.

          -  Male participants should agree to use an adequate method of contraception starting
             with the first dose of study drug through 120 days after the last dose of last study
             drug.

        Exclusion Criteria:

          -  Individuals with the presence of symptomatic CNS metastases requiring radiation
             treatment, surgery, or ongoing use of corticosteroids.

          -  Untreated or brain metastasis causing any symptoms, such as neurologic deficits or
             headache. Individuals with previously treated brain metastases may participate
             provided they are stable (without evidence of progression by imaging for at least four
             weeks prior to the first dose of study drug and any neurologic symptoms have returned
             to baseline and whole brain radiation or stereotactic radiosurgery completed over 4
             weeks prior to registration), have no evidence of new or enlarging brain metastases,
             and are not using steroids for at least 7 days prior to study treatment.

          -  History of solid organ or stem cell transplant requiring immunosuppressive
             medications.

          -  Any prior adjuvant cytotoxic chemotherapy within 12 months of registration. Subjects
             who received chemotherapy for earlier stage disease more than 12 months prior to study
             registration are eligible for this trial.

          -  Has received prior therapy with an anti-PD-1, anti-PD-L1, anti-PD-L2, anti-CD137, or
             anti-Cytotoxic T-lymphocyte-associated antigen-4 (CTLA-4) antibody (including
             ipilimumab or any other antibody or drug specifically targeting T-cell co-stimulation
             or checkpoint pathways).

          -  Any radiotherapy within 2 weeks prior to registration (4 weeks for brain radiotherapy
             as noted above).

          -  Is currently participating in or has participated in a study of an investigational
             agent or using an investigational device within 4 weeks of the first dose of
             treatment.

          -  History of other invasive malignancy that is currently active and/or has been treated
             within 12 months of registration. (Notable exceptions include: basal cell carcinoma,
             squamous cell carcinoma of the skin, localized prostate cancer, in situ carcinomas of
             the cervix and breast, and superficial bladder cancers [non-muscle-invasive]).

          -  Has known history of Human Immunodeficiency Virus (HIV) (HIV 1/2 antibodies).

          -  Active autoimmune disease that has required systemic treatment in past 2 years (i.e.
             with use of disease modifying agents, corticosteroids or immunosuppressive drugs).
             Replacement therapy (e.g., thyroxine, insulin, or physiologic corticosteroid
             replacement therapy for adrenal or pituitary insufficiency, etc.) is not considered a
             form of systemic treatment.

          -  Pulmonary conditions such as sarcoidosis, silicosis, idiopathic pulmonary fibrosis, or
             hypersensitivity pneumonitis.

          -  Has a history of pneumonitis that required steroids or current pneumonitis.

          -  Pre-existing peripheral neuropathy that is ≥ Grade 2 by CTCAE v 4.0 criteria.

          -  Known significant liver disease including viral, alcoholic, active hepatitis B or C,
             and/or cirrhosis.

          -  Abnormal liver or renal function as defined as: bilirubin ≥ 1.5 mg/dL; AST or ALT ≥
             2.5 x the ULN; alkaline phosphatase > 2.5 x the ULN, there is no upper limit if bone
             metastasis is present in the absence of liver metastasis; creatinine > 1.5 mg/dL

          -  Abnormal baseline hematologic or coagulation parameters as defined as: absolute
             neutrophil count (ANC) <1.5 x 10^9/L; hemoglobin < 9.0 g/dL; platelets < 100 x 10^9/L;
             International Normalized Ratio (INR) of prothrombin time (PT) ≥ 1.5 x ULN unless
             subject is receiving anticoagulant therapy as long as PT or PTT is within therapeutic
             range of intended use of anticoagulants; Activated Partial Thromboplastin Time (aPTT)
             ≥ 1.5 x ULN unless subject is receiving anticoagulant therapy as long as PT or PTT is
             within therapeutic range of intended use of anticoagulants

          -  Has received a live vaccine within 30 days prior to the first dose of study drug.

          -  Known activating EGFR mutation or ALK translocation

          -  Is pregnant or breastfeeding, or expecting to conceive or father children within the
             projected duration of the trial, starting with the pre-screening or screening visit
             through 120 days after the last dose of pembrolizumab.