Inclusion Criteria:

          -  Have a performance status of 0 or 1 on the (Eastern Cooperative Oncology Group) ECOG
             Performance Scale.

          -  Patients must have histologic or cytologic confirmation of the diagnosis of invasive
             adenocarcinoma of the breast.

          -  The primary or metastatic tissue must be triple-negative (ER/PR less than or equal to
             9%, HER2-negative [human epidermal growth factor receptor 2] by American Society of
             Clinical Oncology (ASCO)/ College of American Pathologists (CAP) guidelines).

          -  There must be documentation that the patient has evidence of measurable metastatic
             breast cancer based on RECIST 1.1. Tumor lesions situated in a previously irradiated
             area are considered measurable if progression has been demonstrated in such lesions.
             Histologic confirmation of metastatic disease is not required.

          -  At least 1 of the tumor sites must be amenable to core needle biopsy.

          -  Patients with treated, stable, asymptomatic metastatic disease to the brain not
             requiring chronic corticosteroids are eligible (per discretion of the treating
             investigator).

          -  Patient must have resolution of toxic effect(s) of the most recent chemotherapy less
             than or equal to Grade 1 (except alopecia). If the patient has received major surgery
             or radiation therapy of greater than 30 Gy, they must have recovered from the toxicity
             and/or complication from the intervention.

          -  Demonstrate adequate organ function, all screening labs should be performed within two
             weeks of treatment initiation.

               -  ANC (absolute neutrophil count) count greater than or equal to 1,500/mm3

               -  Platelets greater than or equal to 100,000/mm3

               -  Hemoglobin greater than or equal to 9 g/dL

               -  Creatinine less than or equal to 1.5x upper limit of normal (ULN) OR measured or
                  calculated creatinine clearance (CrCl) greater than or equal to 30mL/min for
                  patients with creatinine levels greater than 1.5x institutional ULN. (Glomerular
                  filtration rate (GFR) can also be used in place of creatinine or CrCl.)

               -  Total bilirubin less than or equal to 1.5x ULN OR Direct bilirubin less than or
                  equal to ULN for patients with total bilirubin levels greater than 1.5 x ULN.

               -  AST (SGOT) and ALT (SGPT) less than or equal to 2.5 x ULN OR less than or equal
                  to 5 x ULN for patients with liver metastases.

          -  A less than or equal to Grade 2 skin reaction to the first DTH inoculation is required
             to begin study therapy.

          -  International normalized ratio (INR) or prothrombin time (PT) must be less than or
             equal to 1.5x ULN unless the patient is receiving anticoagulant therapy as long as PT
             or PTT is within therapeutic range of intended use of anticoagulants. Partial
             Thromboplastin Time (aPTT) must be less than or equal to 1.5 x ULN unless subject is
             receiving anticoagulant therapy as long as PT or PTT is within therapeutic range of
             intended use of anticoagulants.

          -  Female patients of childbearing potential should have a negative urine or serum
             pregnancy 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.

          -  Study patients of childbearing potential must be willing to use an adequate method of
             contraception as outlined in the protocol or be surgically sterile, or abstain from
             heterosexual activity for the course of the study through 120 days after the last dose
             of study medication. Patients of childbearing potential are those who have not been
             surgically sterilized or have not been free from menses for greater than 1 year. Note:
             If there is any question that a participant of childbearing potential will not
             reliably comply with the requirements for contraception, that participant should not
             be entered into the study.

        Exclusion Criteria:

          -  Greater than 1 line of therapy for metastatic disease. Note: patients presenting with
             stage IV disease should have one line of standard therapy.

          -  Is currently participating in or has participated in a study of an investigational
             agent or using an investigational device within 4 weeks of the first dose of
             treatment.

          -  Has a diagnosis of immunodeficiency or is receiving systemic steroid therapy (in
             dosing exceeding 10mg daily of prednisone equivalent) or any other form of
             immunosuppressive therapy within 7 days prior to the first dose of trial treatment.
             The use of physiologic doses of corticosteroids must be discussed with the NSABP
             Department of Site and Study Management (DSSM).

          -  A greater than Grade 2 skin reaction to the first DTH inoculation will exclude that
             patient from beginning study therapy.

          -  Has had a prior anti-cancer monoclonal antibody (mAb) within 4 weeks prior to study
             Day 1 or who has not recovered (i.e., less than or equal to Grade 1 or at baseline)
             from adverse events due to agents administered more than 4 weeks earlier.

          -  Prior chemotherapy, targeted small molecule therapy, or radiation therapy within 2
             weeks prior to study Day 1 or who has not recovered (i.e., less than or equal to Grade
             1 or at baseline) from adverse events due to a previously administered agent. Note:
             Patients with alopecia are an exception to this criterion and may qualify for the
             study.

          -  Blood products (including platelets or red blood cells) or administration of colony
             stimulating factors (including G-CSF, GM-CSF or recombinant erythropoietin) within 4
             weeks prior to beginning study therapy.

          -  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 cancers.

          -  Has known active central nervous system (CNS) metastases and/or carcinomatous
             meningitis. Patients with previously treated brain metastases may participate provided
             they are stable (without evidence of progression by imaging for at least four 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 7 days prior to trial treatment.

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

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

          -  Has a history of or active interstitial lung disease, autoimmune lung disease, severe
             asthma requiring daily medication.

          -  Malabsorption syndrome, ulcerative colitis, inflammatory bowel disease, resection of
             the stomach or small bowel, or other disease or condition significantly affecting
             gastrointestinal function.

          -  Has an active infection requiring systemic therapy.

          -  Has a history or current evidence of any condition, therapy, or laboratory abnormality
             that might confound the results of the trial, interfere with a 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.

          -  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 a child 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.

          -  Prior therapy with an anti-PD-1, anti-PD-L1, anti-PD-L2, anti-CD137, or anti-Cytotoxic
             T-lymphocyte-associated antigen-4 (CTLA-4) antibody (including ipilimumab or any other
             antibody or drug specifically targeting T-cell co-stimulation or checkpoint pathways)
             is not allowed.

          -  Has a known history of Human Immunodeficiency Virus (HIV) (HIV 1/2 antibodies).

          -  Has known active Hepatitis B or Hepatitis C infections or known to be positive for
             Hepatitis B antigen (HBsAg)/ Hepatitis B virus (HBV) DNA or Hepatitis C Antibody or
             RNA. Active Hepatitis C is defined by a known positive Hep C Ab result and known
             quantitative HCV RNA results greater than the lower limits of detection of the assay.

          -  Has received a live vaccine within 30 days prior to the first dose of trial treatment.
             Examples of live vaccines include, but are not limited to, the following: measles,
             mumps, rubella, varicella/zoster (chicken pox), yellow fever, rabies, Bacillus
             Calmette-Guérin (BCG), and typhoid vaccine.

        Note: Seasonal influenza vaccines for injection are generally killed virus vaccines and are
        allowed; however, intranasal influenza vaccines (e.g., FluMist®) are live attenuated
        vaccines and are not allowed.

        • Has severe (greater than or equal to Grade 3) hypersensitivity to pembrolizumab and/or
        any of its excipients.