Inclusion Criteria:

        Participants are eligible to be included in the study only if all of the following criteria
        apply:

          -  Male/female participants who are at least 18 years of age on the day of signing
             informed consent with histologically or cytologically confirmed diagnosis of relapsed
             or refractory Hodgkin Lymphoma or Non-Hodgkin Lymphoma (B and T cells).

          -  Male participants: A male participant must agree to use a contraception as detailed in
             Appendix C of this protocol during the treatment period and for at least five months
             after the final CMP-001 and pembrolizumab dose and refrain from donating sperm during
             this period.

          -  Female participants: A female participant is eligible to participate if she is not
             pregnant (see Appendix C), not breastfeeding, and at least one of the following
             conditions applies:

               1. Not a woman of childbearing potential (WOCBP) as defined in Appendix C OR

               2. A WOCBP who agrees to follow the contraceptive guidance in Appendix C during the
                  treatment period and for at least 5 months after the last dose of study
                  treatment.

          -  The participant (or legally acceptable representative if applicable) provides written
             informed consent for the trial prior to the initiation of any study procedures. The
             participant must be capable of understanding and complying with protocol requirements.

          -  Have measurable disease based on Cheson 2007 (Cheson, et al 2007). Lesions situated in
             a previously irradiated area are considered measurable if progression has been
             demonstrated in such lesions.

          -  Subjects must have at least one tumor lesion with a longest diameter of ≥ 1 cm that
             can be easily palpated or detected by ultrasound to facilitate intratumoral injection
             of CMP-001 (eg, tumor in skin, muscle, subcutaneous tissue or accessible lymph node).

          -  Have an Eastern Cooperative Oncology Group (ECOG) performance status of 0 to 1.
             Evaluation of ECOG is to be performed within 7 days prior to the date of
             allocation/randomization.

        Exclusion Criteria:

        Participants are excluded from the study if any of the following criteria apply:

          -  A WOCBP who has a positive urine pregnancy test within 72 hours prior to first dose of
             study drug. (see Appendix C). If the urine test is positive or cannot be confirmed as
             negative, a serum pregnancy test will be required.

          -  Has received prior therapy with an anti-PD-1, anti-PD-L1, or anti PD L2 agent or with
             an agent directed to another stimulatory or co-inhibitory T-cell receptor (eg, CTLA-4,
             OX 40, CD137) within 4 weeks of enrollment into this trial.

          -  Has received prior systemic anti-cancer therapy including investigational agents
             within 2 weeks or 5 half-lives whichever is shorter, prior to first dose of study
             drug.

        Note: Participants must have recovered from all AEs due to previous therapies to ≤Grade 1
        or baseline. Participants with </= Grade 2 neuropathy may be eligible.

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

          -  Has received prior radiotherapy within 2 weeks of start of study treatment.
             Participants must have recovered from all radiation-related toxicities, not require
             corticosteroids, and not have had radiation pneumonitis. A 1-week washout is permitted
             for palliative radiation (</= 2 weeks of radiotherapy) to non-CNS disease.

          -  Has received a live vaccine within 30 days prior to the first dose of study drug.
             Examples of live vaccines include, but are not limited to, the following: measles,
             mumps, rubella, yellow fever, rabies, Bacillus Calmette-Guérin (BCG), and typhoid
             vaccine. Seasonal influenza vaccines for injection are generally killed virus vaccines
             and are allowed; however, intranasal influenza vaccines (eg, FluMist®) are live
             attenuated vaccines and are not allowed.

          -  Is currently participating in or has participated in a study of an investigational
             agent or has used an investigational device within 4 weeks or within 5 half-lives
             whichever is shorter, prior to the first dose of study treatment.

        Note: Participants who have entered the follow-up phase of an investigational study may
        participate as long as it has been 2 weeks or within 5 half-lives whichever is shorter,
        after the last dose of the previous investigational agent.

          -  Has a diagnosis of primary immunodeficiency disorder or is receiving chronic systemic
             steroid therapy (in dosing exceeding 10 mg daily of prednisone equivalent) or any
             other form of immunosuppressive therapy within 7 days prior to the first dose of study
             drug.

          -  Has a known additional malignancy that is progressing or has required active treatment
             within the past 3 years. Note: Participants with basal cell carcinoma of the skin,
             squamous cell carcinoma of the skin, or carcinoma in situ (e.g. breast carcinoma,
             cervical cancer in situ) that have undergone potentially curative therapy are not
             excluded.

          -  Has known active CNS metastases and/or carcinomatous meningitis. Participants with
             previously treated brain metastases may participate provided they are radiologically
             stable, i.e. without evidence of progression for at least 4 weeks by repeat imaging
             (note that the repeat imaging should be performed during study screening), clinically
             stable and without requirement of steroid treatment for at least 14 days prior to
             first dose of study treatment.

          -  Has severe hypersensitivity (>/= Grade 3) to pembrolizumab and/or any of its
             excipients.

          -  Has active autoimmune disease that has required systemic treatment in the past 2 years
             (i.e. with use of disease modifying agents, corticosteroids or immunosuppressive
             drugs). Replacement therapy (eg., thyroxine, insulin, or physiologic corticosteroid
             replacement therapy for adrenal or pituitary insufficiency, etc.) is not considered a
             form of systemic treatment.

          -  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). Note: No HIV testing is
             required unless mandated by local health authority.

          -  Has a known history of Hepatitis B (defined as Hepatitis B surface antigen [HBsAg]
             reactive) or known active Hepatitis C virus (defined as HCV RNA is detected)
             infection. Note: no testing for Hepatitis B and Hepatitis C is required unless
             mandated by local health authority.

          -  Has a history or current evidence of any condition, therapy, or laboratory abnormality
             that might confound the results of the study, interfere with the subject's
             participation for the full duration of the study, 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.

          -  Patients with allotransplant in past 5 years or those with evidence of graft vs. host
             disease (GVHD) will be excluded.

          -  Have inadequate organ function as defined in the following table (Table 3). Specimens
             must be collected within 10 days prior to the start of study treatment.

               1. Hematological: Absolute neutrophil count (ANC) ≥1000/µL;Platelets ≥75 000/µL;
                  Hemoglobin ≥8.0 g/dLa;

               2. Renal: Creatinine OR Measured or calculatedb creatinine clearance (GFR can also
                  be used in place of creatinine or CrCl) ≤1.5 × ULN OR ≥30 mL/min for participant
                  with creatinine levels >1.5 × institutional ULN;

               3. Hepatic: Total bilirubin ≤1.5 ×ULN OR direct bilirubin ≤ULN for participants with
                  total bilirubin levels >1.5 × ULN; AST (SGOT) and ALT (SGPT) ≤2.5 × ULN (≤5 × ULN
                  for participants with liver metastases);

               4. Coagulation: International normalized ratio (INR) OR prothrombin time (PT)
                  Activated partial thromboplastin time (aPTT) ≤1.5 × ULN unless participant is
                  receiving anticoagulant therapy as long as PT or aPTT is within therapeutic range
                  of intended use of anticoagulants;

        ALT (SGPT)=alanine aminotransferase (serum glutamic pyruvic transaminase); AST
        (SGOT)=aspartate aminotransferase (serum glutamic oxaloacetic transaminase); GFR=glomerular
        filtration rate; ULN=upper limit of normal.

        a Criteria must be met without erythropoietin dependency and without packed red blood cell
        (pRBC) transfusion within last 2 weeks.

        b Creatinine clearance (CrCl) should be calculated per institutional standard. Note: This
        table includes eligibility-defining laboratory value requirements for treatment; laboratory
        value requirements should be adapted according to local regulations and guidelines for the
        administration of specific chemotherapies.