In this paper, we present a new trajectory optimization algorithm for stochastic linear systems which com-bines Model Predictive Path Integral (MPPI) control with Constrained Covariance Steering (CSS) to achieve high performance with safety guarantees (robustness). Although MPPI can be used to solve complex nonlinear trajectory optimization problems, it may not always handle constraints effectively and its performance may degrade in the presence of unmodeled disturbances. By contrast, CCS can handle probabilistic state and / or input constraints (e.g., chance constraints) by controlling uncertainty which implies that CCS can provide robustness against stochastic disturbances. CCS, however, suffers from scalability issues and cannot handle complex cost functions in general. We argue that the combination of the two methods yields a class of trajectory optimization algorithms that can achieve high performance while ensuring safety with high probability. The efficacy of our algorithm is demonstrated in an obstacle avoidance problem and a path generation problem with a circular track.