Testing the Addition of Anti-Cancer Drug, ZEN003694 (ZEN-3694) and PD-1 Inhibitor (Pembrolizumab), to Standard Chemotherapy (Nab-Paclitaxel) Treatment in Patients With Advanced Triple-Negative Breast Cancer

Inclusion Criteria: * Participants must have a histologically or cytologically confirmed diagnosis of TNBC based on standard criteria for the disease: * Estrogen receptor (ER) and progesterone receptor (PR) \< 10% by immunohistochemistry (IHC), and HER2-negative (per current American Society of Clinical Oncology \[ASCO\]/College of American Pathologists \[CAP\] guidelines) * If there is more than one histological result available, the most recent sample with ER, PR and HER2 results will be considered for inclusion * Patients who have not had ER, PR and HER2 testing and thus, ER, PR and HER2 status is unknown, are not eligible * Participants without pathologic or cytologic confirmation of metastatic disease should have unequivocal evidence of metastasis from physical examination or radiologic evaluation * Participants must have disease that is unresectable locally advanced or metastatic * DOSE ESCALATION COHORT: Known PD-L1 status is not required prior to study enrollment. Central PD-L1 testing (on archival tumor tissue) will occur retrospectively * DOSE ESCALATION COHORT: Any number of prior lines of therapy are allowed in the metastatic setting. Prior immune checkpoint inhibitor allowed in any setting * DOSE ESCALATION COHORT: Evaluable or measurable disease per RECIST 1.1 criteria * DOSE EXPANSION COHORT: PD-L1 status must be negative. Standard local testing with any PD-L1 antibody that has been validated in a Clinical Laboratory Improvement Act (CLIA)- certified …