Has had a prior monoclonal antibody within weeks prior to study Day or who has not recovered (i.e., =< grade or at baseline) from adverse events (AEs) due to agents administered more than weeks earlier; non-clinically significant adverse events may be considered as an exception after discussion with and approval by the principal investigator SAFETY RUN-IN: Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier RANDOMIZED PHASE II CLINICAL TRIAL: Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had a prior anti-cancer monoclonal antibody within weeks prior to study day or has not recovered (i.e., =< grade or at baseline) from adverse events due to a previously administered agent Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Prior anti-cancer monoclonal antibody =< days prior to registration or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Prior treatment with a monoclonal antibody within weeks prior to the first dose of MK- or has not recovered (i.e. =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has received a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., ? grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had prior monoclonal antibody therapy within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events (AEs) due to agents administered more than weeks earlier Has had prior anticancer therapy within weeks of study day or has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Subjects must not have received a prior monoclonal antibody within weeks prior to the first dose of study medication, and must have recovered (=< grade ) from adverse events related to any anti-cancer agent administered > weeks previous to the first dose of study medication Administration of a monoclonal antibody within weeks prior to initiating study treatment or has not recovered (i.e., =< grade or at baseline) from adverse events (AEs) due to agents administered more than weeks earlier Received prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e. =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had a prior monoclonal antibody within weeks or half-lives, whichever is shorter, prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered weeks earlier Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had prior anti-cancer monoclonal antibody within weeks of Study Day or who has not recovered from adverse events due to agents administered > weeks earlier Has had a prior monoclonal antibody within weeks or half-lives, which ever is shorter, prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Subject has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier; denosumab is allowed as long as not < week prior to study day and not administered on day of MK- infusion Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., ? grade or at baseline) from adverse events due to agents administered more than weeks earlier Prior monoclonal antibody within weeks prior to study day or individuals who have not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Subject has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., ? grade or at baseline) from adverse events due to agents administered more than weeks earlier DOSE ESCALATION COHORT: Prior monoclonal antibody within weeks before study day or not recovered (? grade or at baseline) from adverse events (AEs) due to agents administered more than weeks earlier; exception to this rule would be use of denosumab DOSE EXPANSION COHORT: Prior monoclonal antibody within weeks before study day or not recovered (? grade or at baseline) from AEs due to agents administered more than weeks earlier; exception to this rule would be use of denosumab Has had a prior chemotherapy, targeted small molecule therapy, or monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Non-small cell lung cancer patients only: has had a prior monoclonal antibody within weeks prior to first protocol treatment or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events (AEs) due to agents administered more than weeks earlier Prior monoclonal antibody within weeks prior to study Day ( weeks for RS participants) or who has not recovered (i.e. ? Grade or at baseline) from adverse events due to agents administered more than weeks earlier ( weeks for RS participants). Prior anti-cancer monoclonal antibody within weeks prior to first dose of study drug or has not recovered from adverse effects due to agents administered more than weeks earlier Has had a prior anti-cancer monoclonal antibody within weeks prior to study Day or who has not recovered (i.e., ? Grade or at baseline) from AEs due to agents administered more than weeks earlier. Prior anti-cancer monoclonal antibody within weeks prior to first dose of study drug, or not recovered from adverse effects due to agents administered more than weeks earlier Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had a prior monoclonal antibody within weeks prior to study Day or who has not recovered (i.e., ?Grade or at baseline) from adverse events due to agents administered more than weeks earlier. Has had a prior chemotherapy, targeted small molecule therapy, or monoclonal antibody (except bevacizumab) within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier; wash out period for bevacizumab is days Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had monoclonal antibody therapy within weeks prior to study day or who has not recovered (i.e., =< grade at baseline; excludes alopecia and grade neuropathy) from adverse events due to agent(s) administered more than weeks earlier Participant has had a prior monoclonal antibody within weeks prior to study Day or who has not recovered (i.e. ? Grade or at baseline) from adverse events due to agents administered more than weeks earlier. Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events (AEs) due to agents administered more than weeks earlier Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to prior therapies Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had a prior monoclonal antibody within weeks prior to radiation therapy or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier; denosumab is a prohibited medication on study and for weeks prior to day Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Patient has had a prior monoclonal antibody for a noncancer therapy indication within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events (AEs) due to agents administered more than weeks earlier Has had prior monoclonal antibody therapy within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events (AEs) due to agents administered more than weeks earlier Prior monoclonal antibody within weeks before study Day , or has not recovered from adverse events due to agents administered more than weeks earlier. Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from AEs due to agents administered more than weeks earlier Treatment with an anti-cancer monoclonal antibody within weeks prior to day or has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e. =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had a prior monoclonal antibody within weeks before study day or who has not recovered (i.e., =< grade or at baseline) from AEs due to agents administered more than weeks earlier\r\n* Note: the following will not be exclusionary: patients may have any grade alopecia or lymphopenia and still participate if other inclusion/exclusion criteria are met; patients may have grade or neuropathy at baseline and still participate if other inclusion/exclusion criteria are met Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier Prior treatment with a monoclonal antibody within weeks prior to enrollment or who has not recovered (i.e. ? Grade or baseline grade) from adverse events due to agents administered more than weeks earlier. Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =<, grade or at baseline and other than alopecia) from adverse events due to agents administered more than weeks earlier; exceptions to these criteria may be allowed at the discretion of the UNC PI for toxicities that are not expected to be exacerbated by pembrolizumab or nab-paclitaxel Has had a prior monoclonal antibody within weeks prior to study day or who has not recovered (i.e., =< grade or at baseline) from adverse events due to agents administered more than weeks earlier