This pilot trial studies how well chemokine modulation therapy works when given prior to pembrolizumab in treating participants with triple-negative breast cancer that has spread to other places in the body. Drugs used in chemokine modulation therapy, such as celecoxib, recombinant interferon alfa-2b, and rintatolimod, work by unleashing or enhancing the cancer immune responses that already exist by either blocking inhibitory molecules or by activating stimulatory molecules. Monoclonal antibodies, such as pembrolizumab, may interfere with the ability of tumor cells to grow and spread. Giving chemokine modulation therapy before pembrolizumab may work better in treating participants with metastatic triple-negative breast cancer

PRIMARY OBJECTIVES:

-To evaluate the increase of CD8+ infiltration into tumor microenvironment after pre-treatment CKM regime

SECONDARY OBJECTIVES:

• To evaluate the overall response rate (ORR) to the combination therapy per RECIST v1.1
• To evaluate the efficacy of the chemokine modulation (CKM) in combination with pembrolizumab in patients with metastatic triple negative breast cancer (mTNBC) as compared to historic outcomes of pembrolizumab and other anti-PD1/PD-L1 therapies alone, as determined by secondary measures of efficacy including progression-free survival (PFS), overall survival (OS), and disease control rate (DCR).
• To evaluate the safety profile of CKM regimen given as pre-treatment to pembrolizumab therapy in metastatic breast cancer patients using Common Terminology Criteria for Adverse Events (CTCAE) version 5.0.

EXPLORATORY OBJECTIVES:

• Examine the immune analysis profile of CKM and pembrolizumab combination.
• Examine the relationship of infiltrating CD4+ and CD8+ T cells and other immune and genetic markers, and their associated PD-1, CD45RA or CD45RO levels.
• Correlate PD-L1 expression within both neoplastic and nonneoplastic stromal elements of the tumor microenvironment to PFS, OS, ORR and adverse events (AEs).
• Correlate Immune Panel results with ORR, PFS, OS and AEs.
• Comparison of response assessment criteria for a prospective analysis

OUTLINE:

Participants undergo pre-treatment biopsy. Participants then undergo chemokine modulation therapy consisting of celecoxib orally (PO) twice daily (BID), recombinant interferon alfa-2b intravenously (IV) over 20 minutes, and rintatolimod IV over 30-60 minutes on days -11 to -9, and -4 to -2. Participants then undergo additional biopsy. Following biopsy and chemokine modulation therapy, participants receive pembrolizumab IV over 30 minutes on day 1. After completion of study treatment, participants are followed up for 90 days and then every 6 months for up to 2 years.

Inclusion Criteria:

• Have pathologically confirmed diagnosis of 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
• 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 on prior therapy
• 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 glutamate pyruvate 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 or legal representative 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 (> 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 PI
• 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
• 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 drugs (NSAIDs) or any drugs administered on protocol
• Prior immunotherapy with anti-PD1/PDL1 therapy for the mTNBC
• 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