Inclusion Criteria:

          -  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 guidance

          -  WOCBP must agree to use acceptable birth control methods for the duration of the study
             and until persistence of the study drug is no longer detected in the peripheral
             blood:this may be a period of several years. Methods for acceptable birth control
             include: condoms, diaphragm or cervical cap with spermicide, intrauterine device, and
             hormonal contraception; it is recommended that a combination of two methods be used.
             NOTE: If the risk of conception exists, patients must agree to use highly effective
             contraception throughout the study and for at least two years following the last study
             treatment administration

          -  Negative serum and highly sensitive urine pregnancy test(s):

             i) within 72 hours prior to study allocation; ii) following initiation of treatment,
             pregnancy testing will be performed for WOCBP and interpreted prior to every cycle of
             pembrolizumab (Initial Treatment Phase); iii) at the End of Treatment (EOT)
             Assessment; and iv) whenever pregnancy is otherwise suspected. Note: In the event that
             72 hours have elapsed between the screening pregnancy test and the first dose of study
             treatment, another pregnancy test must be performed and must be negative in order for
             subject to start receiving study medication.

          -  Histologically or cytologically confirmed diagnosis of triple negative breast cancer
             (TNBC) (estrogen receptor [ER] =< 1%, progesterone receptor [PR] =< 1% HER2 negative)

               -  HER2 testing should be performed on the invasive component using a validated
                  immunohistochemistry (IHC) or in situ hybridization (ISH) assay

               -  IHC staining is defined as:

                    -  IHC 3+ if there is complete and intense circumferential membrane staining
                       within > 10 percent of tumor cells. All IHC 3+ tumors are considered HER2
                       positive

                    -  IHC 2+ if there is incomplete and/or weak/moderate, circumferential membrane
                       staining within > 10 percent of tumor cells. All IHC 2+ tumors are reported
                       as HER2 equivocal

                    -  IHC 1+ if there is faint or barely perceptible, incomplete membrane staining
                       within > 10 percent of tumor cells. All IHC 1+ tumors are reported as HER2
                       negative

                    -  IHC 0 if (1) no staining is observed, or (2) there is faint or barely
                       perceptible, incomplete membrane staining within < 10 percent of tumor
                       cells. All IHC 0 tumors are reported as HER2 negative

                    -  Equivocal HER2 testing should trigger reflex HER2 testing using ISH on the
                       same specimen or a new test (using a different specimen with either IHC or
                       ISH)

               -  Results from ISH are defined as the ratio of gene amplification of HER2 and the
                  chromosome 17 enumeration probe (CEP17). Results are reported as:

                    -  ISH positive if the HER2/CEP17 ratio is >= 2.0, and the HER2 copy number
                       signals/cell is >= 4

                    -  Definitive diagnosis will be rendered pending further workup in the
                       following instances:

                         -  If the HER2/CEP17 ratio is >= 2.0 and an average HER2 copy number is <
                            4.0 signals/cell - negative if confirmed on retesting

                         -  If the HER2/CEP17 ratio is < 2.0 and the average HER2 copy number is >=
                            6.0 signals/cell positive - if confirmed on retesting

                         -  If the HER2/CEP17 ratio is < 2.0 and an average HER2 copy number is
                            between >= 4.0 and < 6.0 signals/cell negative - if confirmed on
                            retesting

                    -  ISH negative if the HER2/CEP17 ratio is < 2.0 and average HER2 copy number
                       is < 4.0 signals/cell

          -  Measurable brain disease as per RANO-BM criteria. Have at least one untreated brain
             metastasis approved by a research team that meets the following size requirements:

               -  >= 0.5 cm AND twice the magnetic resonance imaging (MRI) slice thickness; and

               -  < 3.0 cm, that is asymptomatic and does not require local therapy at the time of
                  enrollment (i.e. target lesion[s])

               -  Of note, lesions >= 0.5 cm and < 3 cm may be determined ineligible by the
                  research team because of location or symptoms. An untreated brain metastasis is
                  defined as a lesion not present at the time of whole brain radiation therapy or
                  not included in a stereotactic radiotherapy field (or within 0.5 cm of a treated
                  lesion), or any lesion that is new or unequivocally progressing since prior
                  radiation therapy or prior surgery. If >= 0.5 cm is used, then the MRI imaging
                  should have a 1.5 mm slice thickness or less must be used.

          -  Any brain metastasis >= 3.0 cm or causing symptoms must have previously been treated
             with local therapy (i.e. radiation or surgical resection, as clinically appropriate)
             prior to study enrollment. Any lesion present at the time of whole brain radiation
             therapy (WBRT) or included in the stereotactic radiotherapy field (or within 5 mm of
             the treated lesion) will NOT be considered evaluable unless it is new or documented to
             have progressed since treatment

          -  Stereotactic radiosurgery (SRS) and/or prior radiotherapy is permitted >=2 weeks prior
             to initial Dendritic Cell (DC) vaccine dose (leaving one or more lesions which are not
             radiated and will be used as target lesions) but a follow up brain MRI should be
             obtained prior to dendritic cell (DC) vaccine to determine stability of the lesions.
             An interval of at least 4 weeks after the end of whole brain radiation or for any
             surgical resection of brain lesions is permitted ; an interval of at least 4 weeks or
             5 half-lives (whichever is sorter) after the last cytotoxic, targeted,
             immunotherapeutic or investigational agent is permitted (prior to the start of DC
             vaccine)

               -  Previous whole brain radiation is allowed if patient has been diagnosed with
                  recurrent, progressive brain metastasis. Previously irradiated lesions would be
                  considered non-target lesions

               -  Previously resected lesions or those treated with SRS would be considered
                  nontarget lesions. There is no limitation on prior local therapies to other
                  lesions.

          -  If subject received major surgery, they must have recovered adequately from the
             toxicity and/or complications from the intervention prior to starting therapy

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

          -  Toxicity that has not recovered to <=Grade 1 is allowed if it meets the inclusion
             requirments for lab parameters (Participants with <= Grade 2 neuropathy may be
             eligible)

          -  Patients must have adequate organ and marrow function as defined below (specimens must
             be collected within 10 days prior to the start of study treatment):

          -  Hemoglobin >= 9 g/dL or >= 5.6 mmol/L

          -  Leukocytes: >= 3 x 10^9/L

          -  Absolute neutrophil count: >= 1.5 x 10^9/L

          -  Platelets: >= 100 x 10^9/L

          -  Total bilirubin: =< 1.5 x upper limit of normal (ULN) OR direct bilirubin =< ULN for
             participants with total bilirubin levels > 1.5 x ULN

          -  Aspartate aminotransferase (AST) (serum glutamic-oxaloacetic transaminase
             [SGOT])/alanine aminotransferase (ALT) (serum glutamate pyruvate transaminase [SGPT]):
             =< 2.5 x institutional upper limit of normal (=< 5 x ULN for participants with liver
             metastases)

          -  Creatinine OR Measured or calculated creatinine clearance (Glomerular Filtration Rate
             (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

          -  International normalized ratio (INR) OR prothrombin time (PT) activated partial
             thromboplastin time (APTT) =< 1.5 x ULN unless participant is receiving anticoagulant
             therapy as long as PT or aPTT is within therapeutic range of intended use of
             anticoagulants

          -  No evidence of leptomeningeal disease

          -  If patient is on steroids, they must be on a steroid dose less than or = to an
             equivalent prednisone dose of 10 mg daily

          -  Life expectancy of > 3 months

          -  Prior checkpoint inhibitors permitted 3 weeks prior to enrollment

          -  If the disease has progressed on current treatment in the CNS, prior to consent,
             patients may continue Her 2 directed antibody treatment (trastuzumab and pertuzumab);
             aromatase inhibitor or tamoxifen while on the study; patients with triple negative
             breast cancer may continue capecitabine, eribulin or paclitaxel while on study per PI
             discretion

          -  Patients with systemic disease will be managed as detailed in Section 10.1 - Patients
             who develop systemic disease progression on the protocol will be managed as detailed
             in Section 10.4.2

        Exclusion Criteria:

          -  Any condition which might confound the results of the study, interfere with the
             subject's participation for full participation (for the full duration of the study) or
             in the Investigator's opinion deems the participant an unsuitable candidate for the
             study

          -  Symptomatic brain metastases. Any neurologic symptoms present must have resolved with
             local therapy by the time of administration of study drugs

          -  May not be receiving any other investigational agents and may not have participated in
             a study of an investigational agent or using an investigational device within 4 weeks
             of the first dose of DC vaccine treatment

          -  Has had prior chemotherapy or targeted small molecule therapy within 4 weeks or 5
             half-lives (whichever is sooner) prior to start of treatment (first DC vaccine) or who
             has not recovered (i.e., =< grade 1 or at baseline) from adverse events due to a
             previously administered agent. Previous radiation to extracranial sites may be
             completed at any time prior to initiation of study drugs (first DC vaccine) with a
             2-week washout is required.

          -  Rapidly progressing systemic disease which might interfere with completion of all the
             vaccine doses

          -  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 (e.g., thyroxine, insulin, or physiologic corticosteroid
             replacement therapy for adrenal or pituitary insufficiency, etc.) is not considered a
             form of systemic treatment and is allowed

          -  History of allogenic tissue/solid organ transplantation

          -  Has an active infection requiring systemic therapy which in the investigator's opinion
             will increase risk to the patient

          -  Has known active hepatitis B or hepatitis C infection (Testing is not mandatory)

          -  Has known immunosuppressive disease (e.g. human immunodeficiency virus [HIV], acquired
             immunodeficiency syndrome [AIDS] or other immune depressing disease). Testing is not
             mandatory

          -  Has received a blood transfusion in the two weeks prior to leukapheresis

          -  Pregnant or actively nursing (females who agree to stop nursing would be eligible)
             participants

          -  Unwilling or unable to follow protocol requirements

          -  Has known serious mood disorders. (Major depression diagnosis is an exclusionary
             criterion: Other stable mood disorders on stable therapy for > 6 months or not
             requiring therapy may be allowed after consultation with principal investigator [PI])

          -  Cardiac risk factors including: Patients experiencing cardiac event(s) (acute coronary
             syndrome, myocardial infarction, or ischemia) within 6 months of signing consent,
             Patients with a New York Heart Association classification of III or IV

          -  History of upper gastrointestinal ulceration, upper gastrointestinal bleeding,
             abdominal or tracheoesophageal fistula or gastrointestinal perforation within 6 months
             prior to study enrollment

          -  Prior allergic reaction or hypersensitivity to non-steroidal anti-inflammatory drugs
             (NSAIDs) or any drugs administered on protocol

          -  Regular use of NSAIDs at any dose more than 2 times per week (on average) or aspirin
             at more than 325 mg at least three times per week, on average. Low-dose aspirin not
             exceeding 100 mg/day is permitted. Patients who agree to stop regular NSAIDs or higher
             dose aspirin are eligible and no wash out period is required

          -  Brain lesion size >= 3 cm or with significant midline shift or obstructive
             hydrocephalus

          -  The use of corticosteroids to control cerebral edema or treat neurologic symptoms will
             not be allowed unless at a low dose, not to exceed 10 mg of prednisone (or equivalent)
             per day

          -  History of stroke or transient ischemic attack within 6 months prior to study
             enrollment

          -  Hstory of (non-infectious) pneumonitis that required steroids, current pneumonitis or
             evidence of interstitial lung disease

          -  Presence of leptomeningeal disease

          -  Any contraindication to MRI (patients with pacemakers or other metal implanted medical
             devices). An MRI safety questionnaire is required prior to MR imaging

          -  Has received prior radiotherapy within 2 weeks of start of study treatment with
             dendritic cell (DC) vaccine and/or has received SRS <2. weeks prior to the
             administration of the first DC vaccine dose. 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.
             Seasonal influenza vaccines for injection are allowed; however, intranasal influenza
             vaccines (e.g., FluMist) are live attenuated vaccines and are not allowed

          -  Has a diagnosis of immunodeficiency 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 (DC
             vaccine)

          -  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

          -  A WOCBP who has a positive urine pregnancy test within 72 hours prior to study
             allocation. If the urine test is positive or cannot be confirmed as negative, a serum
             pregnancy test will be required.

             *Note: in the event that 72 hours have elapsed between the screening pregnancy test
             and the first dose of study treatment, another pregnancy test (urine or serum) must be
             performed and must be negative in order for subject to start receiving study
             medication

          -  Known history of Hepatitis B or known active Hepatitis C virus infection. Note: no
             testing for Hepatitis B and Hepatitis C is required unless mandated by local health
             authority

          -  Known active carcinomatous meningitis

          -  Known history of active TB (Bacillus Tuberculosis)

          -  Known psychiatric or substance abuse disorders that would interfere with cooperation
             with the requirements of the trial.