Safety and Efficacy Study of CC-486 With MK-3475 to Treat Locally Advanced or Metastatic Non-small Cell Lung Cancer

Inclusion Criteria: 1. Participant is ≥ 18 years of age at the time of signing the informed consent form. 2. Participant has histologically or cytologically confirmed squamous or non-squamous non-small cell lung cancer (NSCLC). 3. Participant has stage IIIB or IV NSCLC (American Joint Committee on Cancer \[AJCC\] Staging Manual, 7th edition \[Edge, 2009\]) and was pretreated with only 1 prior systemic platinum based chemotherapy. 4. Participant has provided a formalin fixed tumor tissue sample from a biopsy of a tumor lesion either at the time of or after the diagnosis of metastatic disease has been made and from a site not previously irradiated to assess for a protein known as Programmed death-ligand 1( PD-L1) status. Fine needle aspirates, endobronchial ultrasound (EBUS) or cell blocks are not acceptable. Needle or excisional biopsies, or resected tissue is required. Archival tissue may be acceptable. Submission of formalin-fixed paraffin embedded tumor tissue sample blocks are preferred; if submitting unstained slides, the slides should be freshly cut and submitted to the testing laboratory within 14 days from site slide sectioning date otherwise a new specimen will be requested. 5. Participant has radiographically-documented measurable disease, as per Response Evaluation Criteria In Solid Tumors version 1.1 (RECIST v1.1). 6. Particiapant has an Eastern Cancer Oncology Group (ECOG) performance status of 0 to 1. 7. Participant has adequate organ functions, evidenced by the following: 1. Aspartate aminotransferase (AST), Serum glutamic oxaloacetic transaminase (SGOT), alanine aminotransferase (ALT), serum glutamic pyruvic transaminase (SGPT) ≤ 2.5 x upper limit of normal range (ULN), or ≤ 5 x ULN range if liver metastasis present 2. Total bilirubin ≤ 1.5 x ULN 3. Serum creatinine ≤ 1.5 x ULN 4. Potassium within normal range, or correctable with supplements 8. Participant has adequate bone marrow function, evidenced by the following: 1. Absolute neutrophil count ≥ 1.5 x 10\^9 cells/L 2. Platelets ≥ 100 x 10\^9 cells/L 3. Hemoglobin ≥ 9 g/dL 4. International normalized ratio (INR) or prothrombin time (PT) ≤ 1.5 x ULN unless participant is receiving anticoagulant therapy as long as prothrombin time (PT) or partial thromboplastin time (PTT) is within therapeutic range of intended use of anticoagulants 5. Activated partial thromboplastin time (aPTT) ≤ 1.5 x ULN unless participant is receiving anticoagulant therapy as long as PT or PTT is within therapeutic range of intended use of anticoagulants 9. Female of childbearing potential (FCBP) (defined as a sexually mature woman who 1) has not undergone a hysterectomy (the surgical removal of the uterus) or bilateral oophorectomy (the surgical removal of both ovaries) or, 2) if ≥ 45 years old has not been naturally postmenopausal for at least 24 consecutive months (ie, has had menses at any time during the preceding 24 consecutive months) must: 1. Have two negative pregnancy tests as verified by the Investigator prior to starting study therapy. She must agree to ongoing pregnancy testing during the course of the study, and after end of study treatment. This applies even if the participant practices true abstinence\* from heterosexual contact. 2. Either commit to true abstinence\* from heterosexual contact (which must be reviewed on a monthly basis) or agree to use, and be able to comply with two effective methods of contraception without interruption, 28 days prior to starting IP, during the study therapy (including dose interruptions), and for 120 days after discontinuation (or longer if required by local requirements) of study therapy. The two methods of contraception can either be two barrier methods or a barrier method plus a hormonal method to prevent pregnancy. 10. Male participants must practice true abstinence\* (which must be reviewed on a monthly basis) or agree to the use a condom during sexual contact with a pregnant female or a female of childbearing potential while participating in the study, during dose interruptions and for at least 3 months following investigational product discontinuation (or longer if required by local requirements), even if he has undergone a successful vasectomy. \* True abstinence is acceptable when this is in line with the preferred and usual lifestyle of the participant. Note: Periodic abstinence (eg, calendar, ovulation, symptothermal, postovulation methods) and withdrawal are not acceptable methods of contraception. 11. Participant is willing to adhere to the study visit schedule and other protocol requirements. 12. Participant understands and voluntarily signs an informed consent document prior to any study related assessments or procedures are conducted. Exclusion Criteria: 1. Participants with non-squamous histology has known or unknown sensitizing epidermal growth factor receptor (EGFR) and/or anaplastic lymphoma kinase positive (ALK) mutation. Note: Participants with squamous histology and unknown EGFR and ALK mutational status are eligible. 2. Participant has received more than one line of therapy for stage IIIB or IV disease 3. Participant has been previously treated with azacitidine (any formulation), decitabine, or any other hypomethylating agent. 4. Particpant has received prior therapy with any other anti-PD-1, or PD-L1 or PD-L2 agent or an antibody targeting other immuno-regulatory receptors or mechanism, including participation in any other pembrolizumab trial and treatment with pembrolizumab. a. Examples of such antibodies include (but are not limited to) antibodies against indoleamine 2,3-dioxygenase (IDO), PD-L1, IL-2R, glucocorticoid-induced tumor necrosis factor receptor (GITR). 5. Participant has had a prior monoclonal antibody within 4 weeks prior to study Day 1 or who has not recovered (i.e. ≤ Grade 1 or at baseline) from adverse events due to agents administered more than 4 weeks earlier. 6. Participant 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 prior to administration of pembrolizumab and CC-486 7. Participant has previous severe hypersensitivity reaction to another monoclonal antibody (mAb). 8. Participant has a known or suspected hypersensitivity to azacitidine, mannitol, or any other ingredient used in the manufacture of CC-486 (see the Azacitidine IB). 9. Participant has had radiotherapy ≤ 4 weeks or limited field radiation for palliation 10. Participant has received radiation therapy to the lung that is \> 30 Gy within 6 months of the first dose of trial treatment 11. Participant has received a live-virus vaccination within 30 days of planned treatment start. Seasonal flu vaccines that do not contain live virus are permitted. 12. Participant has not recovered from the acute toxic effects of prior anticancer therapy, radiation, or major surgery/significant trauma. 13. Participant has an active infection requiring therapy. 14. Participant has had an allogenetic tissue/solid organ ransplant. 15. Participant has active autoimmune disease that has required systemic treatment within the past 2 years (eg, with use of disease modifying agents, corticosteroids or immunosuppressive drugs). Replacement therapy (eg, thyroxine, insulin, or physiologic corticosteroid replacement therapy for adrenal or pituitary insufficiency, etc.) is not considered a form of systemic treatment. 16. Participant has known active Hepatitis B, Hepatitis C or tuberculosis. Active Hepatitis B is defined as a known positive HBsAg result. Active Hepatitis C is defined by a known positive Hepatitis C antibody result and known quantitative Hepatitis C virus (HCV) ribonucleic acid (RNA) results greater than the lower limits of detection of the assay. 17. Participant has had any other malignancy within 5 years prior to randomization, with the exception of adequately treated in situ carcinoma of the cervix, uterus, or nonmelanomatous skin cancer (all treatment of which should have been completed 6 months prior to enrollment). 18. Participant has a history of inflammatory bowel disease (eg, Crohn's disease, ulcerative colitis), celiac disease (ie, sprue), prior gastrectomy or upper bowel removal, or any other gastrointestinal disorder or defect that would interfere with the absorption, distribution, metabolism, or excretion of the IP and/or predispose the participant to an increased risk of gastrointestinal toxicity. 19. Participant has persistent diarrhea or clinically significant malabsorption syndrome or known sub-acute bowel obstruction ≥ Grade 2, despite medical management 20. Participant has significant active cardiac disease within the previous 6 months including unstable angina or angina requiring surgical or medical intervention, significant cardiac arrhythmia, or New York Heart Association (NYHA) class 3 or 4 congestive heart failure. 21. Participant has history of interstitial lung disease (ILD) OR a history of pneumonitis that has required oral or IV steroids. Participants whose pneumonitis was solely as a result of radiation therapy for their NSCLC would not be excluded from the study unless they received oral/IV steroids to manage the pneumonitis. 22. Participant has a known history or current diagnosis of human immunodeficiency virus (HIV) infection, regardless of treatment status. 23. Participant has any other concurrent severe and/or uncontrolled medical condition that would, in the Investigator's judgment, contraindicate patient participation in the clinical study (eg, chronic pancreatitis, etc.). 24. Participant with uncontrolled or symptomatic central nervous system (CNS) metastases and/or carcinomatous meningitis Participants with controlled and asymptomatic CNS metastases may participate in this trial. The patient must have completed any prior treatment for CNS metastases (must include radiotherapy and/or surgery) ≥ 28 days (≥ 14 days for stereotactic radiosurgery) and, if on corticosteroid therapy, should be receiving a stable dose of no greater than 4 mg/d dexamethasone (or equivalent anti-inflammatory potency of another corticosteroid) for at least 14 days before start of study treatment). Patients must not be receiving corticosteroids for brain metastases. 25. Partcipant has not recovered from the acute toxic effects (Common Terminology Criteria for Adverse Events \[CTCAE\] grade ≤ 1) of prior anticancer therapy, radiation, or major surgery/significant trauma (except alopecia or other toxicities not considered a safety risk for the particiapants at the Investigator's discretion). 26. Participant has an impaired ability to swallow oral medication. 27. Participant is pregnant or breast feeding. 28. Participant has any condition that confounds the ability to interpret data from the study. 29. Participant is or has an immediate family member (spouse or children) who is investigational site or sponsor staff directly involved with this trial, unless prospective Institutional Review Board (IRB) approval (by chair or designee) is given allowing exception to this criterion for a specific participant.