Phase 1B Study Evaluating Alternative Routes of Administration of CMP-001 in Combination With Pembrolizumab in Participants With Advanced Melanoma

Inclusion Criteria: • Participants enrolled into Part 1 must have tumor lesions where repeated IT injections are not feasible and in whom, based on the Investigator's judgement, SC injection is the only viable route of CMP-001 administration. Participants with lesions that are easily accessible for IT injections are not eligible to participate in Part 1. Participants enrolled into Part 2 must have at least one tumor lesion with a longest diameter of \>/= 0.5 cm amenable for IT injection of CMP-001. All participants enrolled into either Part 1 or Part 2 must meet all of the following inclusion criteria to be eligible: * Histopathologically confirmed diagnosis of metastatic or unresectable malignant melanoma. Ocular melanoma participants are not eligible. * Participants must have received prior treatment with anti-PD-1 or anti-PD-L1 therapy (alone or as part of a combination) in the advanced or metastatic setting and had documented progression per RECIST. Participants must have received at least 4 doses of anti-PD-1 or anti-PD-L1 therapy. * Participants must have measurable disease by RECIST Version 1.1. * Capable of understanding and complying with protocol requirements. * A life expectancy of greater than 24 weeks at Screening. * Eastern Cooperative Oncology Group (ECOG) performance status of 0 to 1. * Most recent laboratory values (within 3 weeks prior to Week 1 Day 1) meet the following standards: 1. Bone marrow function: neutrophil count greater than or equal to (\>/=) 1,000/cubic millimeter (mm\^3), platelet count \>/=75,000/mm\^3 and hemoglobin concentration \>/= 8.0 grams per deciliter (g/dL). 2. Liver function: total bilirubin less than or equal to (\<=) 1.5 times the upper limit of normal (ULN) of each institution, aspartate aminotransferase and alanine aminotransferase \<=3 times the ULN range of each institution. 3. Lactate dehydrogenase (LDH) \<=2.0 times the ULN range of each institution. 4. Renal function: serum creatinine \<=1.5 times the ULN range of each institution. * The participant must sign a written informed consent form prior to the initiation of any study procedures. Adult participants unable to provide written informed consent on their own behalf will not be eligible for the study. Exclusion Criteria: * Pregnant or breast feeding * Received investigational therapy (that is, small molecule or biologic) within 30 days prior to the start of CMP-001 dosing on Week 1 Day 1. However, if an investigational drug has a short half-life, a reduced wash out period may be acceptable upon permission given by the Sponsor. * Received treatment with anti- cytotoxic T-lymphocyte-associated protein 4 (anti-CTLA-4) antibody within 30 days prior to the start of CMP-001 dosing on Week 1 Day 1. * Known infection with human immunodeficiency virus (HIV), hepatitis B virus (HBV) or hepatitis C virus (HCV). * Developed autoimmune disorders of Grade 4 while on prior immunotherapy. Participants who developed autoimmune disorders of Grade \<=3 may enroll if the disorder has resolved to Grade \<=1 and the participant has been off systemic steroids at doses greater than (\>) 10 milligrams per day (mg/day) for at least 2 weeks. * Require systemic pharmacologic doses of corticosteroids at or above the equivalent of 10 mg/day prednisone; replacement doses, topical, ophthalmologic and inhalational steroids are permitted. Participants who have a history of adrenal insufficiency and are receiving greater than 10 mg/day systemic steroids may be eligible but only after Sponsor consultation. Participants who are currently receiving steroids at a dose of \<=10 mg/day do not need to discontinue steroids prior to enrollment. * Active (that is, symptomatic or growing) central nervous system (CNS) metastases. Participants with CNS metastases are eligible for the trial if: a) the metastases have been treated by surgery and/or radiotherapy; b) the participant is off corticosteroids \>10 mg/day and is neurologically stable for at least 2 weeks prior to Screening; c) brain MRI completed within 3 months of Screening. * Any concurrent uncontrolled illness, including mental illness or substance abuse, which in the opinion of the Investigator, would make the participant unable to cooperate or participate in the trial. * Severe uncontrolled cardiac disease within 6 months of screening, including but not limited to uncontrolled hypertension; unstable angina; myocardial infarction (MI) or cerebrovascular accident (CVA). * Requires prohibited treatment that is, non-protocol specified anticancer. pharmacotherapy, surgery or conventional radiotherapy for treatment of malignant tumor) * Women of child-bearing potential who are unable or unwilling to use an acceptable method of contraception.