Pembrolizumab in Treating Patients With Stage IB-IV Mycosis Fungoides

Inclusion Criteria: * Age \>= 18 years * Histological confirmation of one of the following: * Stage IIB-IV mycosis fungoides not previously treated with systemic therapy * Stage IB/IIA mycosis fungoides with Modified Severity Weighted Assessment Tool (mSWAT) \>= 20 with high risk morphologic features defined as thick plaque disease and/or follicular involvement who have failed one form of skin-directed therapy. * Sezary syndrome patients not previously treated with systemic therapy. * Measurable disease based on mSWAT and/or Response Evaluation Criteria in Solid Tumors (RECIST) 1.1. * Be willing to provide tissue from a newly obtained core or excisional biopsy of a tumor lesion. Note: Newly-obtained is defined as a specimen obtained up to 6 weeks (42 days) prior to registration. Exception: Subjects for whom newly-obtained samples cannot be provided (e.g. inaccessible or subject safety concern) may submit an archived specimen only upon agreement from the Sponsor. * Eastern Cooperative Oncology Group (ECOG) performance status (PS) 0 or 1. * Absolute neutrophil count (ANC) \>= 1,500 /mcL (obtained =\< 28 days prior to registration) * Platelet count \>= 100,000/mcL (obtained =\< 28 days prior to registration) * Hemoglobin \>= 9.0 g/dL or \>= 5.6 mmol/L without transfusion or erythropoietin (EPO) dependency (within 7 days of assessment) * Serum total bilirubin =\< 1.5 X upper limit of normal (ULN) OR direct bilirubin =\< ULN for subjects with total bilirubin levels \> 1.5 …