IDO and PD-L1 Peptide Based Immune-Modulatory Therapeutic (IO102-IO103) in Combination With Pembrolizumab for BCG-Unresponsive or Intolerant, Non-Muscle Invasive Bladder Cancer

Inclusion Criteria: * Adults \>= 18 years of age * Histologically confirmed high-risk NMIBC (T1, high-grade Ta, or carcinoma in situ \[CIS\]/Tis). Mixed histologies are allowed if predominantly transitional cell histology. Archival tissue or planned cystoscopy within 28 day of planned initiation of treatment * Maximally resected tumor on study entry * Cystectomy ineligible or declined * Two induction courses of BCG attempted, regardless of exact doses received * ECOG (Eastern Cooperative Oncology Group) performance status score of 0 - 2 * Life expectancy \>= 6 months * Absolute neutrophil count (ANC) \> 1000 cells/uL (=\< 14 days of the first study treatment) * Platelet count \> 50,000/uL (=\< 14 days of the first study treatment) * Hemoglobin \> 8 g/dL (=\< 14 days of the first study treatment) * Aspartate aminotransferase (AST)/serum glutamic-oxaloacetic transaminase (SGOT), alanine aminotransferase (ALT)/serum glutamate pyruvate transaminase (SGPT) =\< 5 x upper limit of normal (ULN) (=\< 14 days of the first study treatment) * Alkaline phosphatase =\< 5 x upper limit of normal (ULN) (=\< 14 days of the first study treatment) * Total bilirubin =\< 2 x ULN (=\< 14 days of the first study treatment) * Creatinine clearance \> 30 mL/min as measured using Cockcroft-Gault equation or the estimated glomerular filtration rate from the Modification of Diet in Renal Disease Study (=\< 14 days of the first study treatment) * International normalized ratio (INR) or activated partial …