Key Inclusion Criteria:

          -  Ability of participant to understand this study, and participant willingness to sign a
             written informed consent for this trial.

          -  Histologically confirmed stage I , II or III TNBC (triple-negative breast cancer).

          -  No previous definitive ipsilateral breast surgery for the current breast cancer.

          -  No previous chemotherapy, endocrine therapy, or radiation therapy with therapeutic
             intent for this cancer.

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

          -  Adequate organ function

          -  Adequate cardiac function

          -  A female participant is eligible to participate if she is not pregnant, not
             breastfeeding, and at least one of the following conditions applies:

               -  Not a woman of childbearing potential (WOCBP)

               -  A WOCBP who agrees to follow contraceptive guidelines.

        Key Exclusion Criteria:

          -  Current or anticipated use of other investigational agents while participating in this
             study.

          -  Participant has received chemotherapy, radiotherapy, or surgery for the treatment of
             breast cancer.

          -  Participant has metastatic disease.

          -  Participant has inflammatory breast cancer.

          -  Participants with concomitant or previous malignancies within the last 5 years are
             excluded from the study.

               -  Note: Participants with basal cell carcinoma of the skin, squamous cell carcinoma
                  of the skin, or carcinoma in situ (e.g. ductal carcinoma in situ (DCIS),
                  carcinoma in situ of the cervix) that have undergone potential curative therapy
                  are not excluded.

          -  History of allergic reactions or hypersensitivity attributed to compounds of similar
             chemical or biologic composition to agents used in this study.

          -  Participant has received prior therapy with an anti-programmed death (PD) -1,
             anti-PD-ligand (L)-1, or anti-PD-L2 agent or with an agent directed to another
             stimulatory or co-inhibitory thymus lymphocyte (T-cell) receptor.

          -  Subject has received a live vaccine within 30 days prior to the first dose of study
             drug.

          -  Participant is currently participating in or has participated in a study of an
             investigational agent or has used an investigational device within 4 weeks prior to
             the first dose of study treatment

          -  Participant has a diagnosis of immunodeficiency or is receiving chronic systemic
             steroid therapy or any other form of immunosuppressive therapy within 7 days prior to
             the first dose of Pembrolizumab.

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

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

          -  Has an active infection requiring systemic therapy.

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

          -  Has a known history of Hepatitis B or known active Hepatitis C virus.