Pembrolizumab, IRX-2, and Chemotherapy in Triple Negative Breast Cancer

Inclusion Criteria: 1. Be willing and able to provide written informed consent for the trial. The subject may also provide consent for Future Biomedical Research. However, the subject may participate in the main trial without participating in Future Biomedical Research. 2. Be a male or female subject greater than or equal to 18 years of age on day of signing informed consent. 3. Have locally confirmed TNBC, as defined by the most recent ASCO/CAP guidelines. 4. Have previously untreated locally advanced non-metastatic (M0) TNBC defined as the following combined primary tumor (T) and regional lymph node (N) staging per the current AJCC Version 8 staging criteria for breast cancer staging criteria as assessed by the investigator based on radiological and/or clinical assessment: * T1c, N1-N2 * T2, N0-N2 * T3, N0-N2 * T4a-d, N0-N2 Note: bilateral tumors (i.e., synchronous cancers in both breasts) and/or multi-focal (i.e., 2, separate lesions in the same quadrant)/multi-centric (i.e., 2 separate lesions in different quadrants) tumors are allowed, as well as inflammatory breast cancer, and the tumor with the most advanced T stage should be used to assess the eligibility. 5. Provide a core needle biopsy consisting of at least 1 separate tumor-bearing cores from the primary tumor at screening for translational research (archival is acceptable if sufficient tumor is available; slides are acceptable if at least 15 are available) 6. Have Eastern Cooperative Oncology Group (ECOG) performance status of 0 or 1 assessed within 14 days of treatment initiation. 7. Demonstrate adequate organ function. All screening labs should be performed within 14 days of treatment initiation. 8. Have left ventricular ejection fraction (LVEF) of ≥50% or ≥ institution lower limit of normal (LLN) as assessed by echocardiogram (ECHO) or multigated acquisition (MUGA) scan performed at screening. 9. Males and female subjects of childbearing potential (Section 5.7.2 - Contraception) must be willing to use an adequate method of contraception as outlined in Section 5.7.2 - Contraception, for the course of the study through 12 months after the last dose of study medication for subjects who have received cyclophosphamide, and 6 months after the last dose of study medication for subjects who did not. Note: Abstinence is acceptable if this is the usual lifestyle and preferred contraception for the subject. 10. (Female subject of childbearing potential) Have a negative urine or serum pregnancy test within 72 hours prior to receiving the first dose of study medication. If the urine test is positive or borderline a serum pregnancy test will be required. Exclusion Criteria: 1. Has a history of invasive malignancy ≤5 years prior to signing informed consent except for adequately treated basal cell or squamous cell skin cancer or in situ cervical cancer. 2. Has received prior chemotherapy, targeted therapy, and radiation therapy within the past 12 months. 3. Has received prior therapy with an anti-PD-1, anti-PD-L1, or anti-PD-L2 agent or with an agent directed to another co-inhibitory T-cell receptor (e.g., CTLA-4, OX 40, CD137) or has previously participated in MK-3475 clinical trials. 4. Is currently participating in or has participated in an interventional clinical trial with an investigational compound or device within 4 weeks of the first dose of treatment in this current trial. Note: subject should be excluded if he/she received an investigational agent with anti-cancer or anti-proliferative intent within the last 12 months. 5. Has received a live vaccine within 30 days of the first dose of study treatment. Note: Seasonal influenza vaccines for injection are generally inactivated flu vaccines and are allowed; however intranasal influenza vaccines (e.g., FluMist®) are live attenuated vaccines, and are not allowed. 6. Has an active autoimmune disease that has required systemic treatment in 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) is not considered a form of systemic treatment. 7. 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. 8. Has a known history of Human Immunodeficiency Virus (HIV) (HIV 1/2 antibodies). 9. Has known active Hepatitis B (e.g., HBsAg reactive) or Hepatitis C (e.g., HCV RNA \[qualitative\] is detected). 10. Has a history of (non-infectious) pneumonitis that required steroids or current pneumonitis. 11. Has an active infection requiring systemic therapy. 12. Has significant cardiovascular disease, such as: * History of myocardial infarction, acute coronary syndrome or coronary angioplasty/stenting/bypass grafting within the last 6 months * Congestive heart failure (CHF) New York Heart Association (NYHA) Class II-IV or history of CHF NYHA class III or IV 13. Has a history or current evidence of any condition, therapy, lab abnormality or other circumstance that might expose the subject to risk by participating in the trial, confound the results of the trial, or interfere with the subject's participation for the full duration of the trial in the opinion of the Investigator. 14. Has known psychiatric or substance abuse disorders that would interfere with cooperation with the requirements of the trial in the opinion of the Investigator. 15. Is pregnant or breastfeeding, or expecting to conceive children within the projected duration of the trial, starting with the screening visit through 12 months after the last dose of trial treatment for subjects who have received cyclophosphamide, and for 6 months after the last dose of study medication for subjects who have not. 16. Has a known hypersensitivity to the components of the study therapy or its analogs. 17. Has a known history of active TB (Bacillus Tuberculosis). 18. Allergy to ciprofloxacin (or other quinolones).