Efineptakin Alfa and Pembrolizumab for the Treatment of Recurrent Glioblastoma

Inclusion Criteria: * Age \>= 18 years * Disease characteristics: * Tissue-confirmed progressive or recurrent World Health Organization (WHO) Grade IV IDH wildtype glioblastoma (including molecular glioblastoma and gliosarcoma) * Previously treated with maximum feasible resection or biopsy, radiation, and temozolomide * Have an enhancing mass on magnetic resonance imaging (MRI) amenable to resection or biopsy of the tumor (as determined by the neurosurgeon pre-operatively) and histological diagnosis of glioblastoma from a prior biopsy or surgery * Willing to undergo clinically indicated biopsy and/or resection of their glioblastoma at Mayo Clinic in Rochester, Minnesota (MN). * Eastern Cooperative Oncology Group (ECOG) Performance Status (PS) of 0 or 1 and Karnofsky Performance Scale (KPS) \>= 70 NOTE: PS must be assessed (again) within 7 days prior to first dose of study drug * Hemoglobin \>= 9.0 g/dL (obtained =\< 15 days prior to registration) (without transfusion or erythropoietin \[EPO\] dependency =\< 7 days prior to assessment) * Absolute neutrophil count (ANC) \>= 1500/mm\^3 (obtained =\< 15 days prior to registration) * Platelet count \>= 100,000/mm\^3 (obtained =\< 15 days prior to registration) * Creatinine =\< 1.5 x upper limits of normal (ULN) OR measured or calculated creatinine clearance (per institutional standard) must be \>= 45 ml/min (obtained =\< 15 days prior to registration) * Total bilirubin =\<1.5 x ULN OR direct bilirubin =\< ULN for patients with total bilirubin levels \>1.5 x ULN (obtained =\< 15 days prior to registration) * Aspartate transaminase (AST) AND alanine transaminase (ALT) =\< 2.5 x ULN (obtained =\< 15 days prior to registration) * Prothrombin time (PT)/international normalized ratio (INR)/activated partial thromboplastin time (aPTT) =\< 1.5 x ULN OR if patient is receiving anticoagulant therapy then INR or aPTT is within target range of therapy (obtained =\< 15 days prior to registration) * Negative pregnancy test done =\< 7 days prior to registration, for persons of childbearing potential only (POCBP) Note: If testing done for eligibility is \> 72 hours prior to first dose, then pregnancy testing must be repeated, and result must be negative for patient to receive treatment. * POCBP or able to father a child must be willing to use adequate contraception starting with first dose through 180 days after last dose * 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 and blood samples for correlative research purposes Exclusion Criteria: * Any of the following because this study involves an investigational agent for which genotoxic, mutagenic, and teratogenic effects on the developing fetus and newborn are unknown: * Pregnant persons * Nursing persons * Persons of childbearing potential or able to father a child who are unwilling to employ adequate contraception * Signs or symptoms of life-threatening raised intracranial pressure: as determined by the treating neurosurgeon, including severe headache, nausea, decreasing level of consciousness, precluding 4-7-day delay in scheduling neurosurgery (i.e., immediate surgery is indicated, and patient cannot wait). * Prior treatment * Received bevacizumab (AVASTIN) =\< 4 months prior to registration * Note: Bevacizumab is allowed for symptom control during the adjuvant phase of the study * Received a live vaccine =\< 30 days prior to registration. * Requirement for dexamethasone dose of \> 2mg/day =\< 2 days prior to registration * Failure to recover from any adverse events related to any of the following therapies received prior to registration: * Major surgery =\< 28 days prior to registration * Radiation therapy =\< 14 days prior to registration * Co-morbid systemic illnesses or other severe concurrent disease which, in the judgment of the investigator, would make the patient inappropriate for entry into this study or interfere significantly with the proper assessment of safety and toxicity of the prescribed regimens * Known history of human immunodeficiency virus (HIV) infection * Uncontrolled intercurrent illness including, but not limited to, ongoing or active infection, symptomatic congestive heart failure, unstable angina pectoris, cardiac arrhythmia, or psychiatric illness/social situations (e.g., drug addiction) that would limit compliance with study requirements * Receiving any other investigational agent * Other active malignancy requiring systemic treatment =\< 1 year prior to registration * History of myocardial infarction =\< 6 months prior to registration, or congestive heart failure requiring use of ongoing maintenance therapy for life-threatening ventricular arrhythmias * Active autoimmune disease that has required systemic treatment (i.e., with use of disease modifying agents, corticosteroids, or immunosuppressive drugs) =\< 2 years prior to registration 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 * Concurrent known active Hepatitis B (i.e., known positive hepatitis B virus \[HBV\] surface antigen \[HBsAg\] reactive) AND known active Hepatitis C (i.e., hepatitis C virus \[HCV\] ribonucleic acid \[RNA\] \[qualitative\] detected by polymerase chain reaction \[PCR\]) * Note: No testing for Hepatitis B and Hepatitis C is required unless mandated by local health authority * NOTE: Patients with known Hepatitis B OR Hepatitis C may be enrolled if they meet the following criteria: * Hepatitis B: Patients who are HBsAG positive are eligible if they have received HBV antiviral therapy for at least 4 weeks and have undetectable HBV viral load prior to randomization. Patients should remain on anti-viral therapy throughout the treatment phase of the trial and should follow local guidelines for HBV anti-viral therapy after completing study treatment * Hepatitis C: Patients with history of Hepatitis C infection are eligible if HCV viral load is undetectable at screening. Patients must have completed curative anti-viral therapy at least 4 weeks prior to registration * Known history of active TB (Bacillus Tuberculosis) * History of (non-infectious) pneumonitis or interstitial lung disease that required steroids, or current pneumonitis or interstitial lung disease * Hypersensitivity to pembrolizumab or any of its excipients * Received prior therapy with an anti-PD-1, anti-PD-L1, or anti-PD-L2 agent within \< 12 months prior to registration * NOTE: If such therapy was given ≥ 12 months prior to registration, patient is eligible * History of allogenic tissue/solid organ transplant