A Study of Enhancing Response to MK-3475 in Advanced Colorectal Cancer

This study is being done to test the safety and effectiveness of the combination of intravenous (IV) romidepsin and/or oral CC-486 with IV MK-3475 in people with microsatellite stable advanced colorectal cancer. People with advanced colorectal tumors that are microsatellite stable (MSS) may join this study. Tumors that are MSS positive are not deficient in repair of DNA. This is a pilot study that will look at different ways of making MSS colorectal tumors sensitive to MK-3475 by giving 14 or 21 days of an epigenetic agent (oral CC-486 and/or romidepsin). Participants will be randomly assigned (by chance, like drawing numbers from a hat) to one of three study drug combinations: A. Oral CC-486 taken daily for 21 days (and later shortened to 14 days if there are side effects) and IV MK-3475 given every 2 weeks. B. IV romidepsin given once weekly for 3 weeks and IV MK-3475 given every 2 weeks C. Oral CC-486 taken daily for 21 days (and later shortened to 14 days if there side effects) and IV romidepsin given every 2 weeks and IV MK-3475 given every 2 weeks. Each arm is repeated every 28 days and will continue until the point that the study drug are no longer working. It will not be possible to cross over onto another arm if a participant's disease does not respond to the study drugs. In this study investigators are looking for the following information: * What effects, good and/or bad, the combination of oral CC-486 and/or romidepsin in combination with MK-3475 has on participants' cancer; and * If the genetic and chemical make-up of participants' blood and tumor cells play a role in a response to oral CC-486 and/or romidepsin in combination with MK-3475.