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

This phase I/IIa trial tests the safety, side effects, and best dose of chemokine modulation therapy (CKM) (rintatolimod, celecoxib, and interferon alpha 2b) in combination with pembrolizumab for the treatment of patients with triple negative breast cancer that has spread from where it first started (primary site) to other places in the body (metastatic) or that cannot be removed by surgery (unresectable). CKM drugs such as rintatolimod and interferon alpha 2b work to modify the immune response and tumor-related processes, including tumor cell growth, blood vessel growth, and metastasis. Celecoxib is an anti-inflammatory drug that can cause cell death and may reduce the growth of blood vessels tumors need to grow and spread. Immunotherapy such as pembrolizumab, may help the body's immune system attack the cancer, and may interfere with the ability of tumor cells to grow and spread. Giving CKM therapy prior to pembrolizumab may direct the immune cells to the cancer cells and maximize the effectiveness of pembrolizumab in 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