Dendritic Cell-Based Treatment Plus Immunotherapy for the Treatment of Metastatic or Unresectable Triple Negative Breast Cancer

Inclusion Criteria:

* Age \>= 18 years of age
* Pathologically confirmed diagnosis of unresectable or metastatic triple negative breast cancer (TNBC) with no curative treatment options
* At least 2 target lesions present per Response Evaluation Criteria in Solid Tumors (RECIST) 1.1 at least one of which is amenable to biopsy and injection
* PD-L1 negative metastatic TNBC patients who are treatment naive in the first linen metastatic setting are eligible
* Both PD-L1 positive and PD-L1 negative metastatic TNBC patients in the second line setting and beyond are eligible
* Have an Eastern Cooperative Oncology Group (ECOG) Performance Status of =\< 2
* Platelets \>= 75,000/uL
* Hemoglobin \>= 8 g/dL
* Absolute Neutrophil Count (ANC) \>= 1500/uL
* Creatinine =\< 1.5 x upper limit of normal (ULN) OR creatinine clearance \>= 30 mL/min for participant with creatinine levels \>1.5 x institutional ULN
* Total bilirubin: =\< 2 x ULN OR direct bilirubin =\< ULN for participants with total bilirubin levels \> 2 x ULN
* Aspartate aminotransferase (AST) (serum glutamic-oxaloacetic transaminase \[SGOT\]) and alanine aminotransferase (ALT) (serum glutamate pyruvate transaminase \[SGPT\] =\< 3 x institutional ULN (=\< 5 x ULN for participants with liver metastases)
* Participants of child-bearing potential must agree to use adequate contraceptive methods (e.g., hormonal or barrier method of birth control; abstinence) prior to study entry. Should a woman become pregnant or suspect she is pregnant while she or her partner is participating in this study, she should inform her treating physician immediately
* Participant must understand the investigational nature of this study and sign an Independent Ethics Committee/Institutional Review Board approved written informed consent form prior to receiving any study related procedure

Exclusion Criteria:

* Participants currently treated with systemic immunosuppressive agents, including steroids (\> than equivalent of 10 mg daily of prednisone) are ineligible until 3 weeks after removal from immunosuppressive treatment
* Patients with active autoimmune disease or history of transplantation
* Cardiac risk factors including:

  * Patients experiencing cardiac event(s) (acute coronary syndrome, myocardial infarction, or ischemia) within 3 months of signing consent
  * Patients with a New York Heart Association classification of III or IV
* Pregnant or nursing female participants
* Has known active central nervous system (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 intervention
* Has received prior radiotherapy within 2 weeks of start of study intervention. 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 or live-attenuated vaccine within 30 days prior to the first dose of study drug. Administration of killed vaccines is allowed
* 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 intervention
* 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
* Has severe hypersensitivity (\>= Grade 3) to pembrolizumab and/or any of its excipients
* Has a history of (non-infectious) pneumonitis/interstitial lung disease that required steroids or has current pneumonitis/interstitial lung disease
* Has an active infection requiring systemic therapy
* Has active Human Immunodeficiency Virus (HIV) infection

  * Note: HIV testing is required
* Has active Hepatitis B (defined as Hepatitis B surface antigen \[HBsAg\] reactive) or active Hepatitis C virus (defined as HCV RNA \[qualitative\] is detected) infection

  * Note: Testing for Hepatitis B and Hepatitis C is required
* Uncontrolled intercurrent illness including, but not limited to, ongoing or active infection, symptomatic congestive heart failure, unstable angina pectoris, cardiac arrhythmia, or psychiatric illness/social situations that would limit comp
* Unwilling or unable to follow protocol requirements
* Any condition which in the Investigator's opinion deems the participant an unsuitable candidate to receive study drug