Inclusion Criteria:  Suitability of therapy and patient intends to undergo curative surgery Documented diagnosis of estrogen receptor (ER)-negative and progesterone receptor (PR)-negative tumor Primary tumor ≥ 2 cm with any nodal status Provide archival tissue for the baseline tissue sample ECOG performance status of 0 or 1 Demonstrates adequate organ function Research tumor biopsies including at least one on-treatment biopsy (and additional biopsy at baseline, if required) Participants of child bearing potential must be willing to use 2 forms of contraception during the study and for 6 months following study treatment  Exclusion Criteria:  Prior systemic therapies or radiation for current breast cancer History of invasive malignancy ≤3 years prior to signing informed consent except for adequately treated basal cell or squamous cell skin cancer or in situ cervical cancer History of breast cancer including ipsilateral ductal carcinoma in situ (DCIS) treated with radiotherapy at any time Previous exposure to doxorubicin of more than 200 mg/m2 (as lifetime exposure to doxorubicin is not to exceed 450 mg/m2)  For patients who will receive pembrolizumab:  History of 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 is not considered a form of systemic treatment 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 study drugs History of (non-infectious) pneumonitis that required steroids or current pneumonitis Known history of active tuberculosis (Bacillus Tuberculosis) History of severe hepatic impairment Uncontrolled ischemic heart disease or uncontrolled symptomatic congestive heart failure (Class II-IV as defined by the New York Heart Association [NYHA] functional classification system) Known history of stroke, cerebrovascular accident, severe/unstable angina, myocardial infarction, or coronary angioplasty/stenting/bypass grafting within 6 months prior to enrollment Known serious active infection (e.g., human immunodeficiency virus [HIV], hepatitis B or C, tuberculosis). Women who are pregnant or breastfeeding Participation in other studies involving active treatment with investigational drug(s) Prior hematopoietic stem cell or bone marrow transplantation