The purpose of this research study is to test if pembrolizumab is safe and effective for treating patients with metastatic high-grade neuroendocrine tumors who have failed platinum based chemotherapy.The study drug, pembrolizumab has been FDA approved for treating a type of skin cancer called melanoma and for metastatic non-small cell lung cancer. However, it is not approved for treatment of metastatic high-grade neuroendocrine tumors.