Rintatolimod, Celecoxib and Interferon Alpha 2b With Pembrolizumab For the Treatment of Patients With Metastatic or Unresectable Triple Negative Breast Cancer

Inclusion Criteria:

* Age \>= 18 years of age
* Have pathologically confirmed diagnosis of PDL-1-negative or PDL1 positive unresectable or metastatic TNBC with no curative treatment options
* Have been informed of other treatment options
* Patient has lesion that can be biopsied and is willing to undergo the procedure as part of the protocol. Note: For cohort 1 and cohort 2: Patient with accessible tumor will be offered optional pre-treatment and post-treatment biopsies. Biopsies are mandatory for cohort 3
* Have an Eastern Cooperative Oncology Group (ECOG) performance status of =\< 1
* 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
* Ability to swallow and retain oral medication
* Have measurable disease per RECIST 1.1 criteria present
* Any line of therapy allowed, radiologically confirmed progression
* No cancer-directed therapy for at least 3 weeks prior to study treatment (bone-directed therapies are allowed)
* Platelets \>= 100,000/uL
* Hemoglobin \>= 9.0 g/dL
* Absolute neutrophil count (ANC) \>= 1500/uL
* Total bilirubin =\< institutional upper limit of normal (ULN)
* Aspartate aminotransferase (AST) (serum glutamic oxaloacetic transaminase \[SGOT\]) and alanine aminotransferase (ALT) (serum glutamic pyruvic transaminase \[SGPT\]) =\< 2.5 X institutional ULN
* Creatinine \< ULN or, creatinine clearance \>= 50 mL/min per Cockcroft-Gault equation for patients with creatinine levels greater than ULN
* 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:

* Patients currently treated with systemic immunosuppressive agents, including steroids (greater than equivalent of 10 mg daily of prednisone), are ineligible until 3 weeks after removal from immunosuppressive treatment. (Inhaled steroids are allowed.)
* Patients with active autoimmune disease or history of transplantation
* Pregnant or nursing female participants
* Unwilling or unable to follow protocol requirements
* Patients with known serious mood disorders. (Major depression diagnosis is an exclusion. Other stable mood disorders on stable therapy for \> 6 months or not requiring therapy may be allowed after consultation with the principal investigator.)
* Cardiac risk factors including:

  * Patients experiencing cardiac event(s) (acute coronary syndrome, myocardial infarction, or ischemia) within 3 months of signing consent. While our published clinical studies involving short-term CKM did not indicate increased risk of cardiac events, the CKM can induce flu-like symptoms, providing justification for its avoidance in patients with recent cardiac events
  * Patients with a New York Heart Association classification of III or IV
  * Patients with a history of stroke
* History of upper gastrointestinal ulceration, upper gastrointestinal bleeding, or upper gastrointestinal perforation within the past 3 years
* Prior allergic reaction or hypersensitivity to nonsteroidal antiinflammatory drug (NSAIDs) or any drugs administered on protocol
* Any condition which in the investigator's opinion deems the participant an unsuitable candidate to receive study drug
* Any patients with a positive antinuclear antibodies test will be excluded from study
* Has a known history of human immunodeficiency virus (HIV) infection
* Concurrent active hepatitis B (defined as hepatitis B antigen \[HBsAg\] positive and/or detectable hepatitis B virus \[HBV\] deoxyribonucleic acid \[DNA\]) and hepatitis C virus (defined as anti-hepatitis C virus \[HCV\] antibody \[Ab\] positive and detectable HCV ribonucleic acid \[RNA\]) infection. Note: Hepatitis B and C screening tests are not required unless known history of HBV and HCV infection