This is a two-part study of pembrolizumab monotherapy in participants with metastatic triple-negative breast cancer (mTNBC). Part 1 of the study will examine the efficacy and safety of pembrolizumab monotherapy as first line or above treatment. Part 2 of the study, if done, will expand the investigation of pembrolizumab treatment in a subgroup of participants from Part 1 and will only start after enrollment in Part 1 has been completed.