The purpose of this study is to understand and determine if ruxolitinib added to pembrolizumab is safe and effective for the treatment of relapsed or refractory Hodgkin and non-Hodgkin lymphomas. This includes peripheral T-cell lymphoma (PTCL), cutaneous T-cell lymphomas (CTCL), and other lymphomas (Hodgkin Lymphoma [HL], Gray Zone Lymphomas [GZL], and Primary Mediastinal B-cell Lymphoma [PMBCL]) that has become resistant to commonly available chemotherapy (refractory), or it has re- occurred after treatment (relapsed). For PTCL participants, the main goal is to see how many achieve complete...