 This is a phase III study for previously untreated subjects with advanced NSCLC. The study will take place in two phases. First, a cohort of twelve participants will be enrolled in phase I part and will be treated with carboplatin, nab-paclitaxel and pembrolizumab. A cohort of twelve subjects will be evaluated for safety and tolerability after 2 cycles of therapy. All subjects who receive either nab-paclitaxel or pembrolizumab will be evaluable. If 33 of subjects or less have unacceptable toxicity in the first cohort or any subsequent cohort if necessary, the study will proceed to the Phase II part. If more than 33 have unacceptable toxicity, 12 additional subjects will be enrolled in a second cohort, if necessary. If unacceptable toxicity is seen in more than 33 in Cohort 2, the study will end due to unacceptable toxicity of this drug combination. 