Inclusion Criteria:

        In order to be eligible for participation in the trial (Cohorts A and B) the subject must:

          1. Have previously proven microsatellite instability-high (MSI-H) or mismatch repair
             deficient (dMMR) status (confirmatory testing is not required).

             • dMMR/MSI Testing - Patients are eligible to the combined treatment in cohorts A and
             B based on previous diagnosis for MSI status. MSI status diagnosis should have been
             performed locally by CLIA certified immunohistochemistry (IHC) or PCR or NGS based
             tests.

          2. A. Patients with unresectable or metastatic, microsatellite instability high (MSI-H)
             or mismatch repair deficient CRC, gastric or G-E junction tumors who have progressed
             following prior treatment (2nd or further line of treatment) or B. Patients with
             unresectable or metastatic, microsatellite instability high (MSI-H) or mismatch repair
             deficient CRC, gastric or G-E junction tumors who must have refused, or have been
             considered ineligible for chemotherapy; or for whom a clinical trial of an
             investigational agent plus pembrolizumab is considered appropriate by the investigator
             (1st line of treatment).

          3. Be ≥18 years of age on day of signing informed consent.

          4. Have a life expectancy of at least 6 months.

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

          6. Have resolution of toxic effect(s) of the most recent prior chemotherapy to Grade 1 or
             less (except alopecia). If subject received major surgery or radiation therapy they
             must have recovered from the toxicity and/or complications from the intervention.
             Anyway, the last anti-tumor therapy must have been discontinued at least 4 weeks
             before vaccination.

          7. Have adequate hematological and blood chemistry values

          8. Not previously treated with a (licensed or experimental) anti-PD-1 or anti-PD-L1
             checkpoint inhibitor.

          9. Must agree to have a first biopsy at baseline from a lesion that can be biopsied with
             an acceptable clinical risk (as judged by the Investigator in discussion with the
             interventional radiologist or endoscopist). An older (not older than 6 months)
             formalin-fixed paraffin-embedded (FFPE) specimen from locations not radiated prior to
             biopsy can be accepted.

         10. Must agree to have a second on-treatment biopsy that will be taken only if not
             representing an unacceptable clinical risk and/or if technically feasible as judged by
             the Investigator in discussion with the interventional radiologist or endoscopist.

         11. Participants with measurable disease per RECIST version 1.1.

         12. Female subjects of childbearing potential must have a negative urine or serum
             pregnancy test 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.

         13. Females of reproductive potential must agree to use effective contraception for the
             entire study duration up to 4 months after the last dose of pembrolizumab and 60 days
             after the last dose of vaccine.

         14. Male subjects of childbearing potential must agree to use effective contraception
             starting with the first dose of vaccine through 60 days after the last dose of
             vaccine.

         15. Ability to understand and willingness to sign a written Informed Consent form.

        Exclusion Criteria:

        The subject must be excluded from participating in the trial if he/she:

          1. Has history of active or suspected autoimmune disease, including ulcerative colitis
             and Crohn's Disease, rheumatoid arthritis, systemic progressive sclerosis
             [scleroderma], systemic lupus erythematosus, autoimmune vasculitis [e.g. Wegener's
             Granulomatosis]) or CNS or motor neuropathy considered to be of autoimmune origin
             (e.g., Guillain-Barre Syndrome and Myasthenia Gravis, multiple sclerosis) or
             autoimmune thyroiditis. Patients with minor well controlled hypothyroidism may be
             enrolled. Autoimmune diagnoses not listed here must be approved by the medical monitor
             of the study.

          2. Has known active central nervous system (CNS) metastases and/or carcinomatous
             meningitis. Patients with previously treated brain metastases may participate provided
             they are stable (have no evidence of progression by imaging for at least four weeks
             prior to the first dose of trial treatment and any worsening of neurologic symptoms
             respect to baseline), have no evidence of new or enlarging brain metastases, and are
             not using steroids for at least 1 week prior to pembrolizumab.

          3. Is expected to require any form of systemic or localized antineoplastic therapy while
             on study other than the study drugs.

          4. Is receiving growth factors including, but not limited to, granulocyte colony
             stimulating factor (G-CSF), granulocyte macrophage-colony stimulating factor (GM-CSF),
             erythropoietin, etc. within 4 weeks of study drugs administration.

          5. Had prior treatment with an anti-PD-1, or PD-L1 or PD-L2 agent or an antibody
             targeting other immuno-regulatory receptors or mechanisms.

          6. Has ascites. A subject who is clinically stable following treatment for this condition
             (including therapeutic paracentesis no more than once a week) is eligible.

          7. Has a diagnosis which has been associated with immunodeficiency.

          8. Had prior radiation to more than 50% of all nodal groups.

          9. Is a patient with intra-abdominal abscess.

         10. Is a patient with gastrointestinal obstruction requiring elective or emergency
             surgery.

         11. Within 4 weeks of the first dose of pembrolizumab had major surgery, excluding minor
             procedures (e.g. dental work, skin biopsy), celiac plexus block, and biliary stent
             placement.

         12. Is currently participating and receiving study therapy or has participated in a study
             of an investigational agent and received study therapy or used an investigational
             device within 4 weeks prior to study enrolment or within 12 weeks if the
             investigational agent was immunotherapy.

         13. Has received a live-virus vaccination within 30 days of pembrolizumab start. Seasonal
             flu vaccines that do not contain live virus are permitted.

         14. Used immunosuppressive drugs over the past 3 months from the enrolment.

         15. A subject on chronic systemic steroids will be excluded from the study. Subjects with
             asthma that require intermittent use of bronchodilators, inhaled steroids, or local
             steroid injections would not be excluded from the study.

         16. Has an active severe infection requiring therapy.

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

         18. Has known active Hepatitis B or C. Active Hepatitis B is defined as a known positive
             HBsAg result. 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.

         19. 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 or 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.

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

         21. Is, at the time of signing informed consent, a regular user (including "recreational
             use") of any illicit drugs or had a recent history (within the last year) of substance
             abuse (including alcohol). Marijuana use under medical prescription is permitted
             according to the Federal and State laws.

         22. Has a chronic illness including, but not limited to, chronic heart failure, coronary
             heart disease, cardiac arrhythmias, or psychiatric illness/social situations that
             would limit compliance with study requirements.

         23. Has any history of anaphylaxis in reaction to a vaccination.

         24. Has history of allergy to egg proteins.

         25. Is a woman who is pregnant or breastfeeding.

         26. Has a known history of a second malignancy except if the patient has undergone
             potentially curative therapy with no evidence of that disease recurrence for 2 years
             since initiation of that therapy.

        Note: The time requirement does not apply to subjects who underwent successful definitive
        resection of basal cell carcinoma of the skin, superficial bladder cancer, squamous cell
        carcinoma of the skin, in situ cervical cancer, or other in situ cancers.