Inclusion Criteria:

        Subjects must meet all of the following applicable inclusion criteria to participate in
        this study:

          -  Written informed consent and HIPAA authorization for release of protected health
             information.

          -  Age ≥ 18 years at the time of consent.

          -  Histological or cytological evidence of stage IV NSCLC (any histology)

          -  Subjects must have progressed on or after previous platinum-based chemotherapy.
             Chemotherapy may have previously been given with a PD-1 or PD-L1 inhibitor. Subjects
             must have also progressed on or after receiving any PD-1 or PD-L1 inhibitor (including
             pembrolizumab) as their most recent therapy and must have had at least a 3-month PFS
             on this therapy.

          -  Subjects must be enrolled on the trial within 6 weeks of their last infusion of PD-1
             or PD-L1 inhibitor therapy.

          -  Subjects whose tumors harbor a mutation in EGFR exon 19 or 21 or have gene
             rearrangements in ALK or ROS1 must have already been treated with standard targeted
             therapies. NOTE: Subjects must also have progressed on or after platinum-containing
             combination chemotherapy.

          -  ECOG Performance Status of 0 or 1 within 28 days prior to registration for protocol
             therapy.

          -  Must be fit enough to receive next-line chemotherapy (either gemcitabine, docetaxel,
             or pemetrexed [non-squamous only]) according to the discretion of the treating
             physician.

          -  Adequate laboratory values obtained within 28 days prior to registration for protocol
             therapy.

          -  Women of childbearing potential (WOCBP) must have a negative urine or serum pregnancy
             test within 7 days prior to study registration and/or within 72 hours of first dose of
             study drugs. If the urine test is positive or cannot be confirmed as negative, a serum
             pregnancy test will be required.

          -  Women of childbearing potential must be willing to use two methods of contraception or
             abstain from heterosexual activity from the point of registration through 120 days
             after the last dose of study drug.

          -  Male subjects capable of fathering a child must agree to use an adequate method of
             contraception starting with the first dose of the study drug through 120 days after
             the last dose of the study drug.

        Exclusion Criteria:

        Subjects meeting any of the criteria below may not participate in the study:

          -  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 trial treatment.

          -  Active central nervous system (CNS) metastases. NOTE: Subjects who are symptomatic or
             have not undergone prior brain imaging must undergo a head computed tomography (CT)
             scan or brain MRI within 28 days prior to registration to exclude brain metastases.

          -  Treatment with any investigational agent within 28 days prior to registration for
             protocol therapy with the exception of PD-1 or PD-L1 inhibitors.

          -  No active second cancers with the exception of localized non-melanoma skin cancer,
             in-situ cervical or in-situ bladder cancer.

          -  Evidence of active autoimmune disease requiring systemic treatment within the past 90
             days or a documented history of clinically severe autoimmune disease, or a syndrome
             that requires systemic steroids or immunosuppressive agents.

          -  History of (non-infectious) pneumonitis requiring treatment with corticosteroids,
             evidence of interstitial lung disease or active, non-infectious pneumonitis.

          -  History of an immune-related toxicity requiring treatment with corticosteroids during
             prior PD-1/ PD-L1 inhibitor treatment.

          -  Diagnosis of immunodeficiency or is receiving chronic systemic corticosteroid therapy
             or other immunosuppressive therapy (excludes inhaled corticosteroids) within 7 days of
             study registration.

          -  History of psychiatric illness or social situations that would limit compliance with
             study requirements.

          -  Clinically active infection (≥ Grade 2) as judged by the site investigator.

          -  Known history of human immunodeficiency virus (HIV) infection or chronic hepatitis B
             or C. NOTE: HIV, HBV or HCV testing is not required.

          -  History or current evidence of any condition, therapy, or laboratory abnormality that
             might confound the results of the trial, interfere with the subject's participation
             for the full duration of the trial, or is not in the best interest of the subject to
             participate, in the opinion of the site investigator.

          -  Known history of active TB (Bacillus Tuberculosis).

          -  History of hypersensitivity to pembrolizumab, docetaxel, gemcitabine, pemetrexed or
             any of their excipients.

          -  Has received a live vaccine within 30 days prior to planned start of study therapy.