You are being asked to take part in this study because you have advanced melanoma.

The goal of this clinical research study is to learn if oral azacitidine (CC-486) and pembrolizumab (MK-3475) can help to control melanoma. The safety of this drug combination will also be studied.

This is an investigational study. Azacitidine is FDA approved and commercially available for the treatment of myelodysplastic syndrome (MDS) and acute myeloid leukemia. Pembrolizumab is FDA approved and commercially available for the treatment of melanoma. It is considered investigational to use this drug combination to treat melanoma.

The study doctor will explain how the study drugs are designed to work.

Up to 71 participants will be enrolled in this study. All will take part at MD Anderson.

Study Drug Administration:

Each study cycle is 3 weeks.

You will take azacitidine by mouth 1 time each day on Days 1-14 of each cycle. You may be asked to complete a Pill Diary for this drug. On this Pill Diary you will record the date, time, and number of azacitidine tablets you took that day. You will bring the Pill Diary to each Study Visit while you are on this drug.

You will receive pembrolizumab by vein over about 30 minutes on Day 1 of each cycle.

Study Visits:

On Day 1 of Cycles 1-3:

• You will have a physical exam.
• Blood (about 2½ teaspoons) will be drawn for routine tests.
• During Cycle 1 (if it was not done at screening) and Cycle 3, blood (about 1 teaspoon) will be drawn to learn if the study drugs have affected the disease.
• During Cycle 3 only, you will have 4 core needle tumor biopsies.
• If you can become pregnant, part of the above routine blood sample or urine will be collected for a pregnancy test.

On Day 1 of Cycle 4:

• You will have a physical exam.
• Blood (about 2½ teaspoons) will be drawn for routine tests and to learn if the study drugs have affected the disease.
• If you can become pregnant, part of the above routine blood sample or urine will be collected for a pregnancy test.

You will have an MRI or CT scan at the end of Cycle 4.

On Day 1 of Cycle 5:

• You will have a physical exam.
• Blood (about 4 teaspoons) will be drawn for routine tests and to check the status of the disease.
• You will have 4 core needle tumor biopsies.
• If you can become pregnant, part of the above routine blood sample or urine will be collected for a pregnancy test.

On Day 1 of Cycles 6 and beyond:

• You will have a physical exam.
• Blood (up to 3½ teaspoons) will be drawn for routine tests.
• If you can become pregnant, part of the above routine blood sample or urine will be collected for a pregnancy test.

At the end of Cycle 8 and then every 4 cycles after that (Cycles 12, 16, 20, and so on), you will have an MRI or CT scan.

Length of Study:

You may continue taking the study drugs for up to 24 months or 35 doses, whichever is later. You will no longer be able to take the study drugs if the disease gets worse, if intolerable side effects occur, or if you are unable to follow study directions.

End-of-Treatment Visit:

• Blood (about 4 teaspoons) will be drawn for routine testing and to learn how the study drug has affected the disease.
• You will have an MRI or CT scan.
• If you stop treatment because the disease got worse, you may have 4 core needle tumor biopsies.
• If you can become pregnant, part of the above routine blood sample or urine will be collected for a pregnancy test.

Follow-Up:

If you stopped taking the study drug for any reason other than the disease getting worse, you will have an MRI or CT scan every 12 weeks.

If the disease appears to get worse during this time, you may be eligible to be re-treated with pembrolizumab for an additional year (described below).

Re-Treatment:

If the disease got worse during follow-up and you are still eligible, you may be able to receive up to 1 year of additional treatment with pembrolizumab. If you continue to receive pembrolizumab, you will receive it at the same dose and schedule as described above. You will also continue to have study visits as described above.

Safety Follow-Up Visit:

About 30 days after your last dose of study drugs or before you start a new anti-cancer treatment (whichever happens first), you will have a safety follow-up visit. At this visit, you will have a physical exam and blood (about 2½ teaspoons) will be drawn for routine tests.

This may mean that you have 2 safety follow-up visits if you receive an additional year of pembrolizumab.

Long-Term Follow-Up:

After follow-up, you will be called every 12 weeks by a member of the study staff to learn how you are doing. This call should last about 5 minutes.

Inclusion Criteria:

1. Patients who have unresectable Stage III through stage IV metastatic melanoma that have not received prior PD-1 directed therapy (Arm A) or that have progressed despite prior PD-1 directed therapy (Arm B).
2. Be willing and able to provide written informed consent/assent for the trial.
3. Be >/= 18 years of age on day of signing informed consent.
4. Have measurable or evaluable disease based on RECIST 1.1.
5. Be willing to provide archival or fresh tissue from a newly obtained core or excisional biopsy of a tumor lesion. Newly-obtained is defined as a specimen obtained up to 4 weeks (28 days) prior to initiation of treatment on Day 1. Subjects from whom newly-obtained samples cannot be provided (e.g. inaccessible or subject safety concern) may submit an archived specimen only upon agreement from the Principal Investigator.
6. Have a performance status of 0 or 1 on the ECOG Performance Scale.
7. Demonstrate adequate organ function, all screening labs should be performed within 14 days of treatment initiation. Hematological: Absolute neutrophil count (ANC) >/= 1,500 /mcL; Platelets >/= 100,000 / mcL; Hemoglobin >/= 9 g/dL or >/= 5.6 mmol/L without transfusion or EPO dependency (within 7 days of assessment). Renal: Serum creatinine </= 1.5 X upper limit of normal (ULN) OR measured or calculated creatinine clearance >/= 60mL/min for subjects with creatinine levels > 1.5 X ULN. Hepatic: Serum total bilirubin </= 1.5 X ULN or direct bilirubin </= ULN for subjects with total bilirubin levels > 1.5 ULN; AST (SGOT) and ALT (SGPT) 9 </= 2.5 X ULN OR </= 5 X ULN for subjects with liver metastases.
8. contd from #7. Albumin >/= 2.5 g/dL. Coagulation: International Normalized Ratio (INR) or Prothrombin Time (PT) Activated Partial Thromboplastin Time (aPTT) </=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 </= 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
9. Female subject 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.
10. Female subjects of childbearing potential should be willing to use 2 methods of birth control 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. Subjects of childbearing potential are those who have not been surgically sterilized or have not been free from menses for > 1 year.
11. Male subjects should agree to use an adequate method of contraception starting with the first dose of study therapy through 120 days after the last dose of study therapy.

Exclusion Criteria:

1. 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 of the first dose of treatment.
2. Has a diagnosis of immunodeficiency or is receiving systemic steroid therapy or any other form of immunosuppressive therapy within 7 days prior to the first dose of trial treatment.
3. Has a known history of active TB (Bacillus Tuberculosis)
4. Hypersensitivity to pembrolizumab, azacitidine, mannitol, or any of their excipients.
5. Has had a prior anti-cancer monoclonal antibody (mAb) within 4 weeks prior to study Day 1 or who has not recovered (i.e., \