A Study of Pembrolizumab and Cryoablation in People With Breast Cancer

Inclusion Criteria: * Patients ≥ 18 years of age * Confirmed histologic diagnosis of metastatic TNBC * 1 site amenable cryoablation of at least 1.5 cm in size as determined by an Interventional Radiologist. Eligible cryoablation sites include (but not limited to) soft tissue, liver, lung, and bone as determined by an Interventional Radiologist to be safest and most feasible. * Physically fit (clinically eligible) to undergo cryoablation as per usual clinical practice * Per clinical guidelines, women of childbearing age should use effective contraception during treatment with pembrolizumab and for at least 4 months after the last dose of the drug, which will be assessed and monitored by, and the responsibility of, the patient's medical oncologist (not study investigators or research team) as pembrolizumab is standard of care. Memorial Sloan Kettering Cancer Center Pregnancy Standards will be followed prior to cryoablation. That is, female patients that are 11-50 years of age and of childbearing potential will undergo a pregnancy test within 2 weeks (15 days) before cryoablation. Pregnancy test will not be required in patients with bilateral oophorectomy, bilateral salpingectomy, bilateral salpingectomy-oophorectomy, hysterectomy, menopause (no menses ≥ 1 year prior to treatment or after completion of all treatment), or surgical sterilization (i.e. tubal ligation or blockage), with documentation of permanent exemptions in CIS ("Pregnancy Testing Exemption"). * Pembrolizumab therapy (200 mg every 3 weeks) planned as part of standard of care as first, second, or third line of therapy * Eligible for PD-1 inhibitor per the patient's medical oncologist, with planned treatment with PD-1 inhibitor per the patient's medical oncologist. Additional systemic therapy is per the patient's medical oncologist. The following systemic therapy will be accepted (the timing of the systemic therapy relative to pembrolizumab and cryoablation is not restricted): * Capecitabine (Xeloda, available as a generic drug) * Carboplatin (Paraplatin, available as a generic drug) * Cisplatin (Platinol, available as a generic drug) * Cyclophosphamide (Cytoxan, available as a generic drug) * Docetaxel (Taxotere) * Doxorubicin (Adriamycin, available as a generic drug) * Pegylated liposomal doxorubicin (Doxil) * Epirubicin (Ellence, available as a generic drug) * Eribulin (Halaven) * Fluorouracil (5-FU, Adrucil, available as a generic drug) * Gemcitabine (Gemzar, available as a generic drug) * Ixabepilone (Ixempra) * Methotrexate (available as a general drug) * Nab-paclitaxel (Abraxane) * Paclitaxel (Taxol, available as a generic drug) * Vinorelbine (Navelbine, available as a generic drug) Exclusion Criteria: * Patient not eligible for PD-1 inhibitor per the patient's medical oncologist * No disease amenable for cryoablation * Pembrolizumab therapy not planned as part of standard of care