The main purpose of this study is to determine the dose of poly-ICLC that is safe and tolerable when it is combined with pembrolizumab in patients with colon cancer. This study will also evaluate how the combination of pembrolizumab and poly-ICLC activates the immune system in the patient's blood and inside the tumor; how it affects the size and number of tumor(s) in each patient; and how effective the combination is in patients with colon cancer that is unlikely to respond to pembrolizumab alone.

Mismatch repair genes normally serve to fix the small glitches that occur when DNA is copied as cells divide. In 1993, researchers discovered that mutations in human mismatch repair genes play a key role in the development of certain forms of colorectal cancer; individuals who are deficient in these mismatch repair genes are at high risk for colorectal cancer. Accumulating evidence has shown that immunotherapy may be most effective against these cancers.

Programmed cell death protein 1, also known as PD-1, functions as an immune checkpoint, down-regulating the immune system by preventing the activation of T-cells, which in turn reduces autoimmunity and promotes self-tolerance. A new class of immunotherapy drugs that block PD-1, the PD-1 inhibitors, activate the immune system to attack tumors and are therefore used with varying success to treat some types of cancer.

Current clinical trials are showing that patients whose tumors are mismatch repair deficient are more likely to respond to immune-boosting anti-PD-1 drugs-such as pembrolizumab-than those with tumors proficient in mismatch repair. The idea is that the greater the number of DNA glitches in a tumor cell, the more abnormal proteins it will produce-and the more abnormal proteins that are generated, the greater the odds that the body's immune cells will regard the tumor cells as "foreign" and target them for destruction. Thus far, PD-1 inhibitors have shown great promise for mismatch repair deficient cancer patients, but not for mismatch repair proficient (MRP) cancer patients.

In this clinical trial, the investigators hypothesize that treating MRP colon cancer patients with immunostimulating agent poly-ICLC will generate an inflammatory response, increasing epitope recognition and development of tumor reactive T-cells at the tumor site. However, interferon alpha and gamma produced by the poly-ICLC will increase PD-L1 expression and limit new T-cell development. Thus, PD1 blockade will increase the effectiveness of treatment with pembrolizumab.

Diagnosis/Condition for Entry into the Trial Phase 1 - Presence of histologically confirmed malignancy that has progressed following at least one therapy and able to be visualized on imaging. Measurable disease is not required. Patients with known targetable mutations must have progressive disease on the appropriated targeted drug therapy.

Phase 2 - Presence of MRP colon cancer that has progressed following at least two lines of therapy. Ten patients will be included who have disease that can be biopsied pre- and post-therapy.

Inclusion Criteria:

• Be willing and able to provide written informed consent for the trial
• Have measurable disease based on RECIST 1.1 (Phase 2)
• Be willing to provide tissue from a newly obtained core or excisional biopsy of a tumor lesion
• Have a performance status of 0 or 1 on the ECOG Performance Scale
• Have adequate organ function, according to screening labs performed within 10 days of treatment initiation
• Subjects of childbearing potential must be willing to use an adequate method of contraception for the course of the study through 120 days after the last dose of study medication

Exclusion Criteria:

• Currently participating/previously participated in a therapeutic study and received study therapy or used an investigational device within 4 weeks of the first dose of treatment
• 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
• Has a known history of active TB (Bacillus Tuberculosis)
• Hypersensitivity to pembrolizumab or any of its excipients
• Has a known additional malignancy that is progressing or requires active treatment. Exceptions include basal cell carcinoma of the skin or squamous cell carcinoma of the skin that has undergone potentially curative therapy or in situ cervical cancer
• Has received prior therapy with an anti-PD-1, anti-PD-L1, or anti-PD-L2 agent
• Has a known history of Human Immunodeficiency Virus (HIV) (HIV 1/2 antibodies), active Hepatitis B (e.g., HBsAg reactive) or Hepatitis C (e.g., HCV RNA [qualitative] is detected).
• Has known active central nervous system (CNS) metastases and/or carcinomatous meningitis.
• Has active autoimmune disease that has required systemic treatment in the past 2 years

3 years