Inclusion Criteria:

        In order to be eligible for participation in this trial, the patient must:

          1. Have histologically or cytologically confirmed diagnosis of NSCLC (squamous or
             non-squamous) with positive expression of MAGE-A3 (primary or metastatic lesion).

          2. Phase 1: Have radiographic progression after treatment with at least 1 cycle of
             platinum-doublet chemotherapy and/or at least one treatment of PD-1 or PD-L1 antibody
             targeted therapy. Adjuvant therapy will count as a regimen if administered within 1
             year before relapse.

             Phase 2: Have radiographic progression during or after treatment with anti-PD-1/PD-L1
             antibody. Adjuvant therapy will count as regimen if administered within 1 year before
             relapse.

          3. Phase 1: Patients with tumors of non-squamous NSCLC histology that have a known
             epidermal growth factor receptor (EGFR) mutation and/or anaplastic lymphoma kinase
             (ALK) translocation can participate in the Phase 1 portion of the study if they have
             failed the appropriate tyrosine kinase inhibitor (TKI) (intolerance or documented
             progression of their NSCLC) and have documented progression of their NSCLC. There is
             no preferred order of treatment with TKI or platinum doublet therapy. If a patient is
             found to have one molecular alteration (either sensitizing EGFR mutation or ALK
             translocation), then testing for the other alteration is not required.

             Phase 2: Patients with the above ALK and EGFR targetable mutations will not be
             eligible for treatment.

          4. Have measurable disease based on RECIST v1.1 criteria as determined by the site study
             team. Tumor lesions situated in a previously irradiated area are considered measurable
             if progression has been demonstrated in such lesions post irradiation treatment.

          5. Have at least one tumor amenable to biopsy.

          6. Have Eastern Cooperative Oncology Group (ECOG) performance status 0 or 1.

          7. Demonstrate adequate organ function:

               1. White blood cell (WBC) count ≥3,000 cells/mm3

               2. Absolute neutrophil count (ANC) ≥1,000 cells/mm3

               3. Hemoglobin ≥8 g/dL or ≥4.96 mmol/L (correction with transfusion or
                  erythropoietin-based therapy allowed to meet eligibility criteria)

               4. Platelet count ≥100,000 platelets/mm3 (untransfused)

               5. Total bilirubin ≤1.5 x Upper Limit of Normal (ULN) OR direct bilirubin ≤ULN for
                  patients with total bilirubin levels >1.5 x ULN (i.e., patients with Gilberts
                  disease)

               6. Aspartate transaminase (AST), alanine aminotransferase (ALT) ≤2.5 x ULN; ≤5.0 x
                  ULN if patient has liver metastases

               7. Serum chemistries Sodium, Potassium, and Calcium within normal limits (WNL) or
                  Grade 1

               8. Serum creatinine ≤1.5 x ULN or creatinine clearance ≥60 mL/min for patient with
                  creatinine levels >1.5 institutional ULN according to Cockcroft-Gault formula

               9. Serum phosphate >0.8 mmol/L (Grade 0-1)

              10. International normalized ratio (INR) ≤1.5 x ULN unless patient is receiving
                  anticoagulant therapy as long as prothrombin time (PT) or partial prothrombin
                  time (PTT) is within therapeutic range of intended use of anticoagulants

              11. Activated partial thromboplastin time (aPTT) ≤1.5 x ULN unless patient is
                  receiving anticoagulant therapy as long as PT or PTT is within therapeutic range
                  of intended use of anticoagulants

              12. Resting oxygen saturation on room air ≥ 90%

          8. Female patients of childbearing potential must have a negative urine or serum
             pregnancy test within 72 hours prior to receiving the first dose of study medication.
             If the urine test is positive or cannot be confirmed as negative, a serum pregnancy
             test will be required.

          9. Female patients of childbearing potential (refer to Section 11.A.2.c) must be willing
             to use an adequate method of contraception as outlined in Section 11.A.2.c, starting
             with Day 1 through 120 days after the last dose of study medication.

             Note: Abstinence is acceptable if this is the usual lifestyle and preferred
             contraception for the patient.

         10. Male patients of reproductive potential (Section 11.A.2.c) must agree to use an
             adequate method of contraception as outlined in Section 11.A.2.c, starting with Day 1
             through 120 days after the last dose of study medication.

             Note: Abstinence is acceptable if this is the usual lifestyle and preferred
             contraception for the patient.

         11. Be willing and able to provide written informed consent for the trial.

         12. Be 18 years of age (or legal age of majority in the jurisdiction) on day of signing
             informed consent.

        Exclusion Criteria:

        The patient must be excluded from participating in the trial if the patient:

          1. Has disease that is suitable for local therapy administered with curative intent.

          2. Has had prior treatment with any MAGE-A3 vaccine immunotherapy including Ad-MAGEA3 or
             MG1-MAGEA3.

          3. Is currently receiving experimental 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 treatment.

          4. Has had prior anti-cancer monoclonal antibody (mAb) therapy within 4 weeks prior to
             study Day 1 or failure to recover (i.e., to ≤ Grade 1 or to baseline status) from
             adverse events (AEs) due to agents administered more than 4 weeks earlier.

          5. Has been intolerant of prior PD-1/PD-L1 targeted antibody therapy for which
             re-treatment would expose the patient to clinically significant risk in the opinion of
             the investigator (please attain sponsor permission of enrollment of any patient with
             prior intolerance to anti-PD-1/PD-L1 antibody treatment).

          6. Has had prior chemotherapy, or targeted small molecule therapy, or radiation therapy
             within 4 weeks prior to study Day 1 or who has not recovered (i.e., to ≤ Grade 1 or to
             baseline status) from AEs due to a previously administered agent.

             Note: Patients with ≤Grade 2 neuropathy or having any alopecia are an exception to
             this criterion and may qualify for the study.

             Note: If patient received major surgery, they must be at least 4 weeks from surgery
             AND have recovered adequately from the toxicity and/or complications from the surgery
             prior to starting therapy.

             Note: Patients receiving prior radiation must have recovered (< Grade 1) from any
             acute toxicity. Patients having irreversible but not clinically significant toxicity
             are eligible.

             Note: Patients receiving prior lung radiation with a dose of >30 Gy must wait at least
             8 weeks from the date of completion of the lung radiation before the first dose of
             pembrolizumab.

          7. Has received prior treatment with vesicular stomatitis virus (VSV) based viral vector.

          8. Requires use of anti-platelet or anti-coagulant therapy that cannot be safely
             suspended for per protocol biopsies as per standard of care.

          9. Has known active central nervous system (CNS) metastases and/or carcinomatous
             meningitis.

             Note: Patients with previously treated brain metastases who are stable may
             participate. This exception does not include carcinomatous meningitis which is
             excluded regardless of clinical stability.

         10. Has clinically significant tumor invasion (e.g., impeding obstruction) of a major
             vascular structure (e.g., carotid artery) or other key anatomical structure (e.g.,
             pulmonary airway) or clinically significant and/or rapidly accumulating ascites,
             pericardial or pleural effusions.

         11. Has 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.

         12. Has evidence of active, non-infectious pneumonitis or current radiographic evidence of
             pneumonitis.

         13. Has a history of interstitial lung disease.

         14. Has an active infection requiring systemic therapy.

         15. Has known active Hepatitis B (e.g., Hepatitis B surface antigen [HBsAg] reactive) or
             Hepatitis C (e.g., HCV RNA [qualitative] is detected) virus infection.

         16. Has used anti-viral medication, within 14 days of enrollment.

         17. Has conditions likely to have resulted in splenic dysfunction (e.g., splenectomy,
             sickle cell anemia, radiation to the spleen >20 Gy, congenital asplenism).

         18. Has significant immunodeficiency due to underlying illness (e.g., known HIV/AIDS).

         19. Has received immunosuppressive medication (e.g., systemic corticosteroids) within 4
             weeks prior to the first dose of trial treatment.

             Note: Patients must not be receiving doses of >10 mg/day of prednisone or equivalent
             at the time of study entry and corticosteroids may not be used for premedication.

         20. Previous solid organ or allogeneic stem cell transplant.

         21. Has uncontrolled pre-existing cardiovascular conditions and/or symptomatic cardiac
             dysfunction.

         22. Has >Grade 2 dyspnea and/or requirement for supplemental oxygen.

         23. Has received a live vaccine within 30 days of planned start of study therapy (Note:
             killed flu vaccine acceptable).

         24. Has a known additional malignancy that is progressing or requires active treatment.
             Exceptions include basal cell carcinoma of the skin, squamous cell carcinoma of the
             skin that has undergone potentially curative therapy or in situ cervical cancer.

         25. Has a history or current evidence of any condition, therapy, or laboratory abnormality
             that might confound the results of the trial, interfere with the patient's
             participation for the full duration of the trial, or is not in the best interest of
             the patient to participate, in the opinion of the treating investigator.

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

         27. Is pregnant or breastfeeding, or expecting to conceive or father children within the
             projected duration of the trial, starting with Day 1 through 120 days after the last
             dose of study medication (including pembrolizumab).

         28. History of severe allergic anaphylactic reactions to chimeric, human or humanized
             antibodies, or fusion proteins.

         29. Patients with household contacts meeting any of the following criteria for study entry
             unless alternate living arrangements can be made, while under contact precautions
             (from the time of initial treatment with MG1-MAGEA3 until at least 7 days after the
             last dose of MG1-MAGEA3):

               1. Women who are pregnant or nursing an infant

               2. Children <1 year old; or

               3. Individuals who are severely immunocompromised (including but not limited to:
                  bone-marrow or organ transplant recipients; individuals with human
                  Immunodeficiency virus [HIV] infection; individuals receiving chronic
                  immunosuppressive medication such as systemic corticosteroids).

         30. Is or has an immediate family member (e.g., spouse, parent/legal guardian, sibling or
             child) who is investigational site or Sponsor staff directly involved with this trial,
             unless prospective IRB approval (by chair or designee) is given allowing exception to
             this criterion for a specific patient.