Study of GVAX (With CY) and Pembrolizumab in MMR-p Advanced Colorectal Cancer

Inclusion Criteria: 1. Documented mismatch repair-proficient cancer of colorectum, who have received at least two prior lines of therapy for metastatic disease 2. Measurable disease by RECIST v1.1 3. Age \>18 years 4. ECOG Performance Status of 0 to 1 5. Estimated life expectancy of greater than 3 months. 6. Adequate organ function as defined by study-specified laboratory tests 7. Must use acceptable form of birth control through the study and for 120 days after final dose of study drug 8. Signed informed consent form 9. Willing and able to comply with study procedures Exclusion Criteria: 1. Has a known additional malignancy that is progressing or requires active treatment. 2. Has known central nervous system (CNS) metastases and/or carcinomatous meningitis. 3. Has known malignant small bowel obstruction within the last 6 months. 4. Currently have or have history of certain study-specified heart, liver, kidney, lung, neurological, immune or other medical conditions. 5. Systemically active steroid use. 6. Has an active infection requiring systemic therapy. 7. Has a known history of active TB (Bacillus Tuberculosis). 8. Infection with HIV or hepatitis B or C. 9. Has history of (non-infectious) pneumonitis that required steroids. 10. Must not require supplemental oxygen or have a pulse oximetry \< 92% on room air. 11. Conditions, including therapy, laboratory abnormalities, psychiatric or substance abuse disorders, intercurrent illness, or lack of sufficient peripheral venous access, that would affect the patient's ability to comply with study visits and procedures. 12. Pregnant or lactating. 13. Another investigational product within 28 days prior to receiving study drug. 14. Major surgery or significant traumatic injury (or unhealed surgical wounds) occurring within 28 days prior to receiving study drug. 15. Chemotherapy, radiation, hormonal, or biological cancer therapy within 28 days prior to receiving study drug. 16. Has received a live vaccine within 30 days of planned start of study therapy. 17. Prior treatment with immunotherapy agents (including, anti-PD-1, anti-PD-L1, anti-PD-L2, anti-CTLA4, etc.). 18. Patients receiving growth factors including, but not limited to, granulocyte-colony stimulating factor (G-CSF), GM-CSF, erythropoietin, within 14 days of study drug administration. 19. Hypersensitivity to pembrolizumab or any of its excipients. 20. Patient has a known or suspected hypersensitivity to GM-CSF, hetastarch, corn, dimethyl sulfoxide, fetal bovine serum, trypsin (porcine origin), yeast or any other component of GVAX vaccine. 21. Presence of any tissue or organ allograft and history of allogeneic hematopoietic stem cell transplant. 22. Unwilling or unable to comply with study procedures.