The purpose of this study is to determine how effective combining the research drug, pembrolizumab, with a targeted form of radiation therapy known as involved site radiotherapy can be in patients with relapsed or refractory early stage classical Hodgkin lymphoma. The goal is to see whether this treatment strategy can cure a significant number of patients with relapsed or refractory early stage classical Hodgkin lymphoma while avoiding the toxicity of either a large radiation field or further chemotherapy and stem cell transplant.