Additional Study Information: This study is for women with triple negative breast cancer who have received no prior chemotherapy and are scheduled to undergo breast conserving surgery. We are doing this research study to learn more about how newly diagnosed TNBC responds to Pembrolizumab by giving two cycles of the drug before breast conserving surgery. Pembrolizumab (also known as KEYTRUDA) is an FDA-approved immunotherapy prescription drug used to treat patients with metastatic melanoma, a type of skin cancer. This has not been FDA-approved to treat patients with breast cancer however it is being actively investigated in TNBC. It is also being investigated for the treatment of other cancers. Pembrolizumab (also known as KEYTRUDA) is a medicine that may treat cancer by working with your immune system. The aim of this study is to collect blood, tumor tissue and breast tissue from patients with newly diagnosed TNBC tumors, following two cycles of pembrolizumab and assess the immune response in the primary tumor, surrounding normal breast tissue and serum from these patients.