Inclusion Criteria:

          -  Has previously untreated, locally advanced TNBC.

          -  Is able to provide 2 core needle biopsies from the primary tumor at screening to the
             central laboratory and agrees to have a core needle biopsy after single dose
             pembrolizumab treatment if tumor biopsy is feasible as judged by the investigator.

          -  Has Eastern Cooperative Oncology Group (ECOG) performance status of 0 or 1.

          -  Has adequate organ function.

          -  Females of childbearing potential must be willing to use adequate contraception for
             the course of the study through 12 months after the last dose of study drug for
             participants receiving cyclophosphamide and through 6 months after the last dose of
             study drug for participants who do not receive cyclophosphamide.

        Exclusion Criteria:

          -  Has evidence of metastatic breast cancer, concurrent bilateral invasive breast cancer,
             or inflammatory breast cancer.

          -  Has another malignancy within the last 5 years. Exceptions include basal cell
             carcinoma of the skin, squamous cell carcinoma of the skin that has undergone
             potentially curative surgery, or in situ cervical cancer.

          -  Has received prior chemotherapy, targeted therapy, radiation therapy, immunotherapy
             that targets immune checkpoints, co-stimulatory or co-inhibitory pathways for T cell
             receptors within the past 12 months.

          -  Is currently participating and receiving study therapy, or has participated in a study
             of an investigational agent and received study therapy or used an investigational
             device within 4 weeks of the first dose of study drug.

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

          -  Has an active autoimmune disease that has required systemic treatment in past 2 years.

          -  Has a diagnosis of immunodeficiency or is receiving systemic steroid therapy or any
             other form of immunosuppressive therapy within 7 days prior to the first dose of study
             drug.

          -  Has a known history of Human Immunodeficiency Virus (HIV).

          -  Has known active Hepatitis B or Hepatitis C.

          -  Has evidence of current pneumonitis.

          -  Has a history of non-infectious pneumonitis requiring treatment with steroids or a
             history of interstitial lung disease.

          -  Has an active infection requiring systemic therapy.

          -  Has significant cardiovascular disease, such as: History of myocardial infarction,
             acute coronary syndrome or coronary angioplasty/stenting/bypass grafting within the
             last 6 months; Congestive heart failure (CHF) New York Heart Association (NYHA) Class
             II-IV or history of CHF NYHA class III or IV

          -  Has known psychiatric or substance abuse disorders that would interfere with
             cooperation with the requirements of the study.

          -  Is pregnant or breastfeeding, or expecting to conceive children within the projected
             duration of the study, starting with the screening visit through 12 months after the
             last dose of trial treatment for participants who have received cyclophosphamide, and
             for six months after the last dose of study medication for participants who have not.

          -  Has a known hypersensitivity to the components of the study drug or its analogs.