• PRE-REGISTRATION COHORT 1 ONLY: Histologically confirmed unresectable locally advanced or metastatic solid malignancies

• PRE-REGISTRATION COHORT 1 ONLY: Has cancer progression after at least one line of standard of care systemic treatment

• PRE-REGISTRATION COHORT 2 ONLY: Histologically confirmed unresectable locally advanced or metastatic solid malignancies that pembrolizumab is Food and Drug Administration (FDA) approved indication including melanoma, non-small cell lung cancer (NSCLC), head and neck squamous cell cancer (HSNCC), urothelial carcinoma, any microsatellite instability (MSI)-high tumor, gastric or gastroesophageal junction (GEJ) adenocarcinoma, cervical cancer, hepatocellular carcinoma (HCC), merkel cell carcinoma (MCC), renal cell carcinoma (RCC), endometrial carcinoma, tumor mutational burden-high (TMB-H) cancer, cutaneous squamous cell carcinoma (cSCC), and triple-negative breast cancer (TNBC) or other solid tumors that will benefit from pembrolizumab per the treating physician's judgment.

• PRE-REGISTRATION COHORT 2 ONLY: Patient is eligible to receive pembrolizumab with or without chemotherapy per the treating physician's judgement or has been on pembrolizumab through compassionate use

• PRE-REGISTRATION: Age \>= 18 years

• PRE-REGISTRATION: Willing to provide mandatory tissue specimens per protocol

⁃ NOTE: This includes mandatory fresh tissue specimen at pre-registration for complete exome and transcriptome sequencing unless patient had sequencing under Mayo Institutional Review Board (IRB) protocol #13-000942, #14-004094, or #21-007742 and has been identified for potential production of REAL Neo vaccine. Patients who had sequencing under Mayo IRB protocol #13-000942, #14-004094, or #21-007742 and have been identified for potential production of REAL Neo vaccine are allowed to proceed with neoantigen production.

• PRE-REGISTRATION: Measurable disease as defined by RECIST (version 1.1) criteria

⁃ NOTE: Tumor lesions in a previously irradiated area are not considered measurable disease or non-measurable disease

• PRE-REGISTRATION: Patients with actionable genomic abnormality including, but not limited to EGFR, ALK, MET, ROS-1, RET, NTRK, KRAS or BRAF must have also received and progressed on at least one line of prior FDA-approved targeted therapy

• PRE-REGISTRATION: Provide written informed consent

• PRE-REGISTRATION: Willing to return to enrolling institution for follow-up (during the Active Monitoring Phase of the study)

• PRE-REGISTRATION: Willing to provide mandatory blood specimens for correlative research

• PRE-REGISTRATION: Negative pregnancy test done =\< 7 days prior to pre-registration for persons of childbearing potential only

⁃ NOTE: If the urine test is positive or cannot be confirmed as negative, a serum pregnancy test will be required.

• PRE-REGISTRATION: Willing to employ a highly effective method of contraception from the time of pre-registration through 6 months after the final vaccine cycle

• PRE-REGISTRATION: Willing to receive a tetanus vaccination if subject has not had one =\< 1 year prior to pre-registration

• PRE-REGISTRATION: Eastern Cooperative Oncology Group (ECOG) of 0 or 1

• PRE-REGISTRATION: Anticipated life expectancy of \> 6 months

• PRE-REGISTRATION: Recovered from all toxicities associated with prior treatment to acceptable baseline status (for laboratory toxicity see below limits for inclusion) or National Cancer Institute Common Terminology Criteria for Adverse Events (NCI CTCAE), version 5.0, Grade of 0 or 1, except for toxicities not considered a safety risk per treating investigator (e.g., alopecia or vitiligo).

• PRE-REGISTRATION: Hemoglobin \>= 9.0 g/dL (obtained =\< 28 days prior to pre-registration) (Must be \>= 7 days after most recent transfusion)

• PRE-REGISTRATION: Absolute neutrophil count (ANC) \>= 1500/mm\^3 or \>= 1.5 X 10\^9/L (obtained =\< 28 days prior to pre-registration)

• PRE-REGISTRATION: Platelet count \>= 100,000/mm\^3 or \>= 100 X 10\^9/L (obtained =\< 28 days prior to pre-registration) (Must be \>=7 days after most recent transfusion)

• PRE-REGISTRATION: Total bilirubin =\< 1.5 x upper limit of normal (ULN) (obtained =\< 28 days prior to pre-registration)

• PRE-REGISTRATION: Aspartate transaminase (AST) and alanine transaminase (ALT) =\< 3 x ULN or =\< 5 x ULN for patients with liver metastases (obtained =\< 28 days prior to pre-registration)

• PRE-REGISTRATION: Creatinine =\< 1.5 x ULN OR calculated creatinine clearance must be \>= 50 ml/min using the Cockcroft-Gault formula (obtained =\< 28 days prior to pre-registration)

• PRE-REGISTRATION: International normalized ratio (INR) or prothrombin time (PT) and activated partial thromboplastin time (aPTT) =\< 1.5 x ULN unless patient is receiving anticoagulant therapy in which case PT or PTT must be within target range of therapy (obtained =\< 28 days prior to pre-registration)

• REGISTRATION COHORT 1 ONLY: Histologically confirmed unresectable locally advanced or metastatic solid malignancies

• REGISTRATION COHORT 1 ONLY: Has cancer progression after at least one line of standard of care systemic treatment

• REGISTRATION COHORT 2 ONLY: Histologically confirmed unresectable locally advanced or metastatic solid malignancies that pembrolizumab is FDA approved indication (including melanoma, non-small cell lung cancer (NSCLC), head and neck squamous cell cancer (HSNCC), urothelial carcinoma, any microsatellite instability (MSI)-high tumor, gastric or gastroesophageal junction (GEJ) adenocarcinoma, cervical cancer, hepatocellular carcinoma (HCC), merkel cell carcinoma (MCC), renal cell carcinoma (RCC), endometrial carcinoma, tumor mutational burden-high (TMB-H) cancer, cutaneous squamous cell carcinoma (cSCC), and triple-negative breast cancer (TNBC) or other solid tumors that will benefit from pembrolizumab per the treating physician's judgement.

• REGISTRATION COHORT 2 ONLY: Pembrolizumab without chemotherapy remains as a reasonable treatment option at the treating physician's decision

• REGISTRATION: Age \>= 18 years

• REGISTRATION: Soft tissue lesion amenable for adequate tissue sampling

⁃ NOTE: It should not be tumor which was radiated in the past.

• REGISTRATION: Successful sequencing and production of REAL-Neo vaccine

• REGISTRATION: Measurable disease as defined by RECIST (version 1.1) criteria

⁃ NOTE: Tumor lesions in a previously irradiated area are not considered measurable disease or non-measurable disease

• REGISTRATION: ECOG Performance Status (PS) 0 or 1

• REGISTRATION: Anticipated life expectancy of \> 6 months

• REGISTRATION: Hemoglobin \>= 9.0 g/dl (obtained =\< 14 days prior to registration)

• REGISTRATION: Absolute neutrophil count (ANC) \>= 1500/mm\^3 (obtained =\< 14 days prior to registration)

• REGISTRATION: Platelet count \>= 100,000/mm\^3 (obtained =\< 14 days prior to registration)

• REGISTRATION: Total bilirubin =\< 1.5 x ULN (obtained =\< 14 days prior to registration)

• REGISTRATION: Alanine aminotransferase (ALT) and aspartate transaminase (AST) =\< 3 x ULN (=\< 5 x ULN for patients with liver involvement) (obtained =\< 14 days prior to registration)

• REGISTRATION: PT/INR and aPTT =\< 1.5 x ULN unless patient is receiving anticoagulant therapy in which case INR or aPTT must be within target range of therapy (obtained =\< 14 days prior to registration)

• REGISTRATION: Calculated creatinine clearance \>= 50 ml/min using the Cockcroft-Gault formula (obtained =\< 14 days prior to registration)

• REGISTRATION: Provide written informed consent

• REGISTRATION: Willing to provide mandatory blood specimens for correlative research

• REGISTRATION: Willing to provide mandatory tissue specimens for correlative research

• REGISTRATION: Willing to return to enrolling institution for follow-up (during the Active Monitoring Phase of the study)

• REGISTRATION: Patients with actionable genomic abnormality including, but not limited to EGFR, ALK, MET, ROS-1, RET, NTRK, KRAS or BRAF must have also received and progressed on at least one line of prior FDA-approved targeted therapy

• REGISTRATION: Negative pregnancy test done =\< 14 days prior to registration for persons of childbearing potential only

⁃ NOTE: If the urine test is positive or cannot be confirmed as negative, a serum pregnancy test will be required

• REGISTRATION: Willing to employ a highly effective method of contraception from the time of pre-registration through 6 months after the final vaccine cycle

• REGISTRATION: Willing to receive a tetanus vaccination if subject has not had one =\< 1 year prior to pre-registration

• REGISTRATION: Recovered from all toxicities associated with prior treatment to acceptable baseline status (for laboratory toxicity see below limits for inclusion) or National Cancer Institute Common Terminology Criteria for Adverse Events (NCI CTCAE), version 5.0, Grade of 0 or 1, except for toxicities not considered a safety risk per treating investigator (e.g., alopecia or vitiligo)