Inclusion Criteria:

          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 1 treatment of PD-1 or PD-L1 antibody
             targeted therapy. Adjuvant therapy will count as regimen if administered within 1 year
             before relapse.

             Phase 2: Have radiographic progression after first line treatment with at least 1
             cycle of platinum-doublet chemotherapy. Adjuvant therapy will count as a regimen if
             administered within 1 year before relapse.

          3. 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 this 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 on platinum doublet chemotherapy. 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.

          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.

          5. Have at least one tumor amenable to biopsy. If a patient does not have a safely
             accessible tumor for biopsy, study entry requires permission from the sponsor.

          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) ≥1,500 cells/mm3

               3. Hemoglobin ≥9 g/dL or ≥5.6 mmol/L

               4. Platelet count ≥100,000 platelets/mm3

               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

               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

          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 9.E.2.c) must be willing
             to use an adequate method of contraception as outlined in Section 9.E.2.c, starting on
             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 9.E.2.c) must agree to use an
             adequate method of contraception as outlined in Section 9.E.2.c, starting with the
             first dose of study therapy through 120 days after the last dose of study therapy.

             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:

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

          2. Phase 1: Has had prior treatment with MAGE-A3 vaccine immunotherapy to include
             Ad-MAGEA3, MG1-MAGEA3.

             Phase 2: Has had prior treatment with any anti-cancer immunotherapy, including therapy
             with an anti-PD-1, anti-PD-L1, or anti-PD-L2 agent or has previously participated in
             Merck MK-3475 clinical trials or who have had prior treatment with Ad-MAGEA3,
             MG1-MAGEA3, or any MAGE-A3 targeted therapy.

          3. Is currently 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 Day 1 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 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 ≤Grade 2 alopecia are an exception to this
             criterion and may qualify for the study.

             Note: If patient received major surgery, they must have recovered adequately from the
             toxicity and/or complications from the intervention prior to starting therapy.

             Note: Patients receiving prior radiation must have recovered from any acute toxic
             effect unless Grade 1, irreversible and considered not clinically significant.

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

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

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

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

             Note: Patients with previously treated brain metastases may participate provided they
             are stable (without evidence of progression by imaging [using the identical imaging
             modality for each assessment, either magnetic resonance imaging (MRI) or CT scan] for
             at least 4 weeks prior to the first dose of trial treatment and any neurologic
             symptoms have returned to baseline), have no evidence of new or enlarging brain
             metastases, and are not using steroids for at least 28 days prior to trial treatment.
             This exception does not include carcinomatous meningitis which is excluded regardless
             of clinical stability.

          9. Has disease/tumor invading a major vascular structure (e.g., carotid artery), tumor
             related impending bowel obstruction or clinically significant and/or rapidly
             accumulating ascites, pericardial or pleural effusions.

         10. 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.

         11. Has evidence of active, non-infectious pneumonitis.

         12. Has a history of interstitial lung disease.

         13. Has an active infection requiring systemic therapy.

         14. Has known active Hepatitis B (e.g., HBsAg reactive) or Hepatitis C (e.g., HCV RNA
             [qualitative] is detected).

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

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

         17. Has significant immunodeficiency due to underlying illness (e.g., known HIV/AIDS)
             and/or medication (e.g., systemic corticosteroids) used immunosuppressive therapy
             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.

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

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

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

        22. 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.

        22. 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.

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

        24. Is pregnant or breastfeeding, or expecting to conceive or father children within the
        projected duration of the trial, starting on Day 1 through 120 days after the last dose of
        trial treatment.

        25. Has household contacts meeting any of the following criteria for study entry unless
        alternate living arrangements can be made:

        a. Women who are pregnant or nursing an infant b. Children <12 months of age c. 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).

        26. 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 Research Ethics Board approval (by chair or designee) is given allowing
        exception to this criterion for a specific patient.