Inclusion Criteria:

          -  Acute Myeloid Leukemia (AML), Acute Lymphoblastic Leukemia (ALL) or Myelodysplastic
             Syndrome (MDS) in confirmed relapse

          -  Confirmation of 'measurable disease'

          -  Patient may not have received definitive salvage chemotherapy for their
             post-transplant relapse within the past 21 days.

          -  Be willing and able to provide written informed consent/assent for the trial

          -  Be ≥ 18 years of age on day of signing informed consent

          -  Be willing to provide tissue from bone marrow biopsies

          -  Have a performance status of 0, to 1 on the ECOG Performance Scale. Eastern
             Cooperative Oncology Group Performance Status: an attempt to quantify cancer patients'
             general well-being and activities of daily life. The score ranges from 0 to 5 where 0
             is asymptomatic and 5 is death.

          -  Demonstrate adequate organ function

          -  Female subject of childbearing potential should have a negative urine or serum
             pregnancy within 72 hours prior to receiving the first dose of study medication.

          -  Female subjects of childbearing potential must be willing to use an adequate method of
             contraception

          -  Male subjects of childbearing potential must agree to use an adequate method of
             contraception

        Exclusion Criteria:

          -  Has had relapse prior to primary neutrophil engraftment or ≤21 days post HCT.

          -  Has received >1 line of chemotherapy or other treatment directed towards
             post-transplant relapse prior to study entry

          -  Rapidly progressive relapse requiring urgent chemotherapy as determined by treating
             physician

          -  Is currently participating and receiving study therapy of an investigational agent and
             received study therapy within 2 weeks of the first dose of treatment.

          -  Has a diagnosis of active GvHD (≥ Grade I)

          -  Receiving systemic steroid therapy of > 10mg prednisone daily or equivalent*

          -  Has received GM-CSF within 14 days of first dose of pembrolizumab

          -  Has a known history of active TB (Bacillus Tuberculosis)Hypersensitivity to
             pembrolizumab or any of its excipients

          -  Has had a prior anti-cancer monoclonal antibody (mAb) within 4 weeks prior to study
             Day 1 or who has not recovered from adverse events

          -  Has had prior chemotherapy within 21 days or radiation therapy within 14 days prior to
             study Day 1 or who has not recovered from adverse events

          -  Has a known additional (secondary) malignancy that is progressing or requires active
             treatment

          -  Has known or suspected active central nervous system (CNS) metastases and/or
             carcinomatous meningitis

          -  Has a history of (non-infectious) pneumonitis that required steroids, or current
             pneumonitis

          -  Has a 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 treating investigator.

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

          -  Is pregnant or breastfeeding, or expecting to conceive or father children within the
             projected duration of the trial

          -  Has received prior therapy with an anti-PD-1, anti-PD-L1, or anti-PD-L2 agent

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

          -  Has known active Hepatitis B or Hepatitis C

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