Rintatolimod, Celecoxib and Interferon Alpha 2b With Pembrolizumab For the Treatment of Patients With Metastatic or Unresectable Triple Negative Breast Cancer

Inclusion Criteria: * Age \>= 18 years of age * Have pathologically confirmed diagnosis of PDL-1-negative or PDL1 positive unresectable or metastatic TNBC with no curative treatment options * Have been informed of other treatment options * Patient has lesion that can be biopsied and is willing to undergo the procedure as part of the protocol. Note: For cohort 1 and cohort 2: Patient with accessible tumor will be offered optional pre-treatment and post-treatment biopsies. Biopsies are mandatory for cohort 3 * Have an Eastern Cooperative Oncology Group (ECOG) performance status of =\< 1 * Participants of child-bearing potential must agree to use adequate contraceptive methods (e.g., hormonal or barrier method of birth control; abstinence) prior to study entry. Should a woman become pregnant or suspect she is pregnant while she or her partner is participating in this study, she should inform her treating physician immediately * Ability to swallow and retain oral medication * Have measurable disease per RECIST 1.1 criteria present * Any line of therapy allowed, radiologically confirmed progression * No cancer-directed therapy for at least 3 weeks prior to study treatment (bone-directed therapies are allowed) * Platelets \>= 100,000/uL * Hemoglobin \>= 9.0 g/dL * Absolute neutrophil count (ANC) \>= 1500/uL * Total bilirubin =\< institutional upper limit of normal (ULN) * Aspartate aminotransferase (AST) (serum glutamic oxaloacetic transaminase \[SGOT\]) and alanine aminotransferase (ALT) (serum glutamic pyruvic transaminase \[SGPT\]) =\< 2.5 X institutional ULN * Creatinine \< ULN or, creatinine clearance \>= 50 mL/min per Cockcroft-Gault equation for patients with creatinine levels greater than ULN * Participant must understand the investigational nature of this study and sign an Independent Ethics Committee/Institutional Review Board approved written informed consent form prior to receiving any study related procedure Exclusion Criteria: * Patients currently treated with systemic immunosuppressive agents, including steroids (greater than equivalent of 10 mg daily of prednisone), are ineligible until 3 weeks after removal from immunosuppressive treatment. (Inhaled steroids are allowed.) * Patients with active autoimmune disease or history of transplantation * Pregnant or nursing female participants * Unwilling or unable to follow protocol requirements * Patients with known serious mood disorders. (Major depression diagnosis is an exclusion. Other stable mood disorders on stable therapy for \> 6 months or not requiring therapy may be allowed after consultation with the principal investigator.) * Cardiac risk factors including: * Patients experiencing cardiac event(s) (acute coronary syndrome, myocardial infarction, or ischemia) within 3 months of signing consent. While our published clinical studies involving short-term CKM did not indicate increased risk of cardiac events, the CKM can induce flu-like symptoms, providing justification for its avoidance in patients with recent cardiac events * Patients with a New York Heart Association classification of III or IV * Patients with a history of stroke * History of upper gastrointestinal ulceration, upper gastrointestinal bleeding, or upper gastrointestinal perforation within the past 3 years * Prior allergic reaction or hypersensitivity to nonsteroidal antiinflammatory drug (NSAIDs) or any drugs administered on protocol * Any condition which in the investigator's opinion deems the participant an unsuitable candidate to receive study drug * Any patients with a positive antinuclear antibodies test will be excluded from study * Has a known history of human immunodeficiency virus (HIV) infection * Concurrent active hepatitis B (defined as hepatitis B antigen \[HBsAg\] positive and/or detectable hepatitis B virus \[HBV\] deoxyribonucleic acid \[DNA\]) and hepatitis C virus (defined as anti-hepatitis C virus \[HCV\] antibody \[Ab\] positive and detectable HCV ribonucleic acid \[RNA\]) infection. Note: Hepatitis B and C screening tests are not required unless known history of HBV and HCV infection