Evaluating Combination Immunotherapy for Advanced Cholangiocarcinoma With Pembrolizumab and PEG-Intron

Inclusion Criteria: Subject must meet all of the following applicable inclusion criteria to participate in this study: 1. Be willing and able to provide written informed consent/assent for the trial. 2. Be at least 18 years of age on day of signing informed consent. 3. Patients must have received 1 line of prior systemic therapy for metastatic or resectable disease (i.e. patients may have received adjuvant gemcitabine and then later gemcitabine/cisplatin for recurrent metastatic disease) 4. Histological confirmation of cholangiocarcinoma. 5. Have measurable disease based on RECIST 1.1. 6. Be willing to provide tissue from a newly obtained core or excisional biopsy of a tumor lesion. Newly obtained is defined as a specimen obtained up to 6 weeks (42 days) prior to initiation of treatment on Day 1. Subjects for whom newly obtained samples cannot be provided (e.g. inaccessible or subject safety concern) may submit an archived specimen only upon agreement from the sponsor-investigator. 7. Have a performance status of 0 or 1 on the Eastern Cooperative Oncology Group (ECOG) Performance Scale. 8. Demonstrate adequate organ function: Hematological: * Absolute neutrophil count (ANC) ≥ 1,500 /μL * Platelets ≥ 100,000 / μL * Hemoglobin ≥ 9 g/dL or ≥ 5.6 mmol/L without transfusion or EPO dependency (within 7 days of assessment) Renal: * Serum creatinine OR Measured or calculated creatinine clearance ≤ 1.5 X upper limit of normal (ULN) OR ≥ 60 mL/min for subject with creatinine levels * (GFR can also be used in place of creatinine or CrCl) \> 1.5 x institutional ULN Hepatic: * Serum total bilirubin ≤ 2.0 X ULN * AST (SGOT) and ALT (SGPT) ≤ 3.0 X ULN OR ≤ 5 X ULN for subjects with liver metastases * Albumin \> 2.5 mg/dL Coagulation: * International Normalized Ratio (INR) or Prothrombin Time (PT) ≤ 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 * 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 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 adequate 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: The subject must be excluded from participating in the trial if the subject: 1. A history of anaphylaxis to peginterferon alfa-2b or interferon alfa-2b 2. 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. 3. 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. 4. Has a known history of active Bacillus Tuberculosis (TB) 5. Hypersensitivity to pembrolizumab or any of its excipients. 6. Has had a prior anti-cancer monoclonal antibody (mAb) 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. 7. Has had prior chemotherapy, targeted small molecule therapy, or radiation therapy within 2 weeks prior to study Day 1 or who has not recovered (i.e., ≤ Grade 1 or at baseline) from adverse events due to a previously administered agent. * Note: Subjects with ≤ Grade 2 neuropathy are an exception to this criterion and may qualify for the study. * Note: If subject received major surgery, they must have recovered adequately from the toxicity and/or complications from the intervention prior to starting therapy. 8. 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. 9. Has known active central nervous system (CNS) metastases and/or carcinomatous meningitis. Subjects with previously treated brain metastases may participate provided they are stable (without evidence of progression by imaging for at least four weeks prior to the first dose of trial treatment and any neurologic symptoms have returned to baseline), have no evidence of new or enlarging brain metastases, and are not using steroids for at least 7 days prior to trial treatment. This exception does not include carcinomatous meningitis, which is excluded regardless of clinical stability. 10. Has active autoimmune disease that has required systemic treatment in the past 2 years (i.e. with use of disease modifying agents, corticosteroids, or immunosuppressive drugs). Replacement therapy (e.g., thyroxine, insulin, or physiologic corticosteroid replacement therapy for adrenal or pituitary insufficiency, etc.) is not considered a form of systemic treatment. 11. Has known history of, or any evidence of active, non-infectious pneumonitis. 12. Has an active infection requiring systemic therapy. 13. Has a history or current evidence of any condition, therapy, or laboratory abnormality that might confound the results of the trial, interfere with the subject's participation for the full duration of the trial, or is not in the best interest of the subject to participate, in the opinion of the site investigator. 14. Has known psychiatric or substance abuse disorders that would interfere with cooperation with the requirements of the trial. 15. Is pregnant or breastfeeding, or expecting to conceive or father children within the projected duration of the trial, starting with the pre-screening or screening visit through 120 days after the last dose of trial treatment. 16. Has received prior therapy with an anti-PD-1, anti-PD-L1, or anti-PD-L2 agent. 17. Has a known history of Human Immunodeficiency Virus (HIV) (HIV 1/2 antibodies). 18. Has known active Hepatitis B without HBV treatment (HBV infection with ongoing HBV treatment is allowed); has persistent chronic Hepatitis C infection (successfully treated HCV infection is allowed). 19. Has received a live vaccine within 30 days of planned start of study therapy. Note: Seasonal influenza vaccines for injection are generally inactivated flu vaccines and are allowed; however, intranasal influenza vaccines (e.g., Flu-Mist®) are live attenuated vaccines, and are not allowed. 20. Has history of bipolar disorder or major depression. 21. Has history of not tolerating interferon treatment. 22. Has known serious neuropsychiatric condition.