Pembrolizumab in Treating Patients With Stage IB-IV Mycosis Fungoides

Inclusion Criteria: * Age \>= 18 years * Histological confirmation of one of the following: * Stage IIB-IV mycosis fungoides not previously treated with systemic therapy * Stage IB/IIA mycosis fungoides with Modified Severity Weighted Assessment Tool (mSWAT) \>= 20 with high risk morphologic features defined as thick plaque disease and/or follicular involvement who have failed one form of skin-directed therapy. * Sezary syndrome patients not previously treated with systemic therapy. * Measurable disease based on mSWAT and/or Response Evaluation Criteria in Solid Tumors (RECIST) 1.1. * Be willing to provide tissue from a newly obtained core or excisional biopsy of a tumor lesion. Note: Newly-obtained is defined as a specimen obtained up to 6 weeks (42 days) prior to registration. Exception: 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. * Eastern Cooperative Oncology Group (ECOG) performance status (PS) 0 or 1. * Absolute neutrophil count (ANC) \>= 1,500 /mcL (obtained =\< 28 days prior to registration) * Platelet count \>= 100,000/mcL (obtained =\< 28 days prior to registration) * Hemoglobin \>= 9.0 g/dL or \>= 5.6 mmol/L without transfusion or erythropoietin (EPO) dependency (within 7 days of assessment) * Serum total bilirubin =\< 1.5 X upper limit of normal (ULN) OR direct bilirubin =\< ULN for subjects with total bilirubin levels \> 1.5 ULN (obtained =\< 28 days prior to registration) * Aspartate transaminase (AST) and alanine transaminase (ALT) =\< 2.5 X ULN OR =\< 5 X ULN for subjects with liver metastases (obtained =\< 28 days prior to registration) * Albumin \> 2.5 mg/dL (obtained =\< 28 days prior to registration) * Serum creatinine =\< 1.5 x upper limit of normal (ULN) OR measured or calculated creatinine clearance \>= 60 ml/min for subject with creatinine levels \> 1.5 x institutional ULN (obtained =\< 28 days prior to registration) * Prothrombin time (PT)/international normalized ratio (INR) and partial thromboplastin time (PTT) =\< 1.5 X ULN OR if patient is receiving anticoagulant therapy and PT/INR or PTT is within therapeutic range of intended use of coagulants (obtained =\< 28 days prior to registration) * Negative urine or serum pregnancy test done =\< 28 days prior to registration and =\< 72 hours prior to receiving the first dose of study medication, for women of childbearing potential only. * Female 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 the study medication. * Note: Abstinence is acceptable if this is the usual lifestyle and preferred contraception for the subject. * Male subjects of childbearing potential must agree to use an adequate method of contraception for the course of the study through 120 days after the last dose of the study medication. * Note: Abstinence is acceptable if this is the usual lifestyle and preferred contraception for the subject. * Provide written informed consent. * Willing to return to enrolling institution for follow-up (during the Active Monitoring Phase of the study). * Willing to provide tissue samples for correlative research purposes. Exclusion Criteria: * Any of the following because this study involves: an agent that has known genotoxic, mutagenic and teratogenic effects: * Pregnant women * Nursing women * Men or women of childbearing potential who are unwilling to employ adequate contraception * Is currently participating and receiving study therapy or have participated in a study of an investigational agent and received study therapy or used an investigational device =\< 4 weeks prior to registration. * Has a diagnosis of immunodeficiency or is receiving systemic steroid therapy or any other form of immunosuppressive therapy =\< 7 days prior to registration. * Has a known history of active TB (Bacillus tuberculosis). * Hypersensitivity to pembrolizumab or any of its excipients. * Has had a prior anti-cancer monoclonal antibody (mAb) =\< 4 weeks prior to registration or who has not recovered (i.e., =\< grade 1 or at baseline) from adverse events due to agents administered more than 4 weeks earlier. * Has had prior chemotherapy, targeted small molecule therapy, or radiation therapy =\< 2 weeks prior to registration 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. * Has a known additional malignancy that is progressing or requires active treatment. Exceptions: 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 known active central nervous system (CNS) metastases and/or carcinomatous meningitis. Exceptions: subjects with previously treated brain metastases may participate provided they are stable (without evidence of progression by imaging =\< 4 weeks prior to registration 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 registration. This exception does not include carcinomatous meningitis which is excluded regardless of clinical stability. * 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). Note: 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. * Has a history of non-infectious pneumonitis that required steroids or has current pneumonitis. * Has an active infection requiring systemic therapy. * 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 treating investigator. * Has known psychiatric or substance abuse disorders that would interfere with cooperation with the requirements of the trial. * Is pregnant or breastfeeding, or expecting to conceive or father children within the projected duration of the trial, starting with the screening visit through 120 days after the last dose of trial treatment. * 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). * Has known active hepatitis B (e.g., hepatitis B surface antigen \[HBsAg\] reactive) or Hepatitis C (e.g., hepatitis C virus \[HCV\] ribonucleic acid \[RNA\] \[qualitative\] is detected). * Has received a live vaccine =\< 30 days prior to registration. * 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. * Sezary syndrome patients with high blood burden requiring immediate cytoreduction.