KEYMAKER-U01 Substudy 3: Efficacy and Safety Study of Pembrolizumab (MK-3475) When Used With Investigational Agents in Participants With Advanced Non-small Cell Lung Cancer (NSCLC), Previously Treated With Anti-programmed Cell Death Receptor Ligand 1 (PD-L1) Therapy (MK-3475-01C/KEYMAKER-U01C)

Inclusion: * Has a histologically- or cytologically-confirmed diagnosis of Stage IV squamous or non-squamous NSCLC. * Has non-squamous NSCLC and is not eligible for an approved targeted therapy. * Is able to provide archival tumor tissue sample collected either within 5 years or within the interval from completion of last treatment but before entering the screening period or newly obtained core or excisional biopsy of a tumor lesion not previously irradiated obtained within 90 days of treatment initiation * Have progressed on treatment with an anti-PD-(L)1 monoclonal antibody (mAb) administered either as monotherapy, or in combination with other checkpoint inhibitors or other therapies * Have progressive disease (PD) during/after platinum doublet chemotherapy * Is able to complete all screening procedures within the 35-day screening window * Male participants must agree to use contraception and refrain from donating sperm during the treatment period and for at least 120 days after the last dose of study treatment * Female participants must not be pregnant or breastfeeding, and at least one of the following conditions apply: 1. Not a woman of childbearing potential (WOCBP) OR 2. A WOCBP who agrees to use contraception during the treatment period and for at least 120 days after the last dose of study treatment * Has adequate organ function within 10 days of initiation of study treatment Exclusion Criteria: * Has a diagnosis of small cell lung cancer * Has a diagnosis of immunodeficiency or is receiving chronic systemic steroid therapy (in dosing exceeding 10 mg daily of prednisone equivalent) or any other form of immunosuppressive therapy within 7 days before the first dose of study treatment * Has a known additional malignancy that is progressing or has required active treatment within the past 2 years * Has known active central nervous system (CNS) metastases and/or carcinomatous meningitis * Has an active autoimmune disease that has required systemic treatment in the past 2 years * Has a history of (noninfectious) pneumonitis that required steroids or has current pneumonitis * Has an active infection requiring systemic therapy * Has clinically significant cardiac disease, including unstable angina, acute myocardial infarction within 6 months from Day 1 of study treatment, or New York Heart Association Class III or IV congestive heart failure * Has a known history of Human Immunodeficiency Virus (HIV) infection * Has a known history of Hepatitis B or known active Hepatitis C virus infection * Has known psychiatric or substance abuse disorders that would interfere with cooperating with the requirements of the study * Has had major surgery \<3 weeks before the first dose of study treatment * Has received prior radiation therapy to the lung that is \>30 Gray (Gy) within 6 months of the first dose of study treatment * Has received a live vaccine within 30 days before the first dose of study treatment. Any licensed COVID-19 vaccine (including for Emergency Use) in a particular country is allowed as long as they are messenger ribonucleic acid (mRNA) vaccines, adenoviral vaccines, or inactivated vaccines. Investigational vaccines (ie, those not licensed or approved for Emergency Use) are not allowed * Has received any prior immunotherapy and was discontinued from that treatment due to a severe or worse immune-related adverse event (irAE) * Has had chemotherapy or biological cancer therapy within 4 weeks before the first dose of study treatment or has not recovered to Common Terminology Criteria for Adverse Events (CTCAE) Grade 1 or better from the AEs due to cancer therapeutics administered more than 4 weeks before the first dose of study treatment (including participants who had previous immunomodulatory therapy with residual irAEs) * Is currently participating in or has participated in a study of an investigational agent or has used an investigational device within 4 weeks before the first dose of study treatment * Has participated in Substudies 1 or 2 * Has had a severe hypersensitivity reaction to treatment with monoclonal antibodies (including pembrolizumab) and/or any of their excipients * Is pregnant or breastfeeding or expecting to conceive or father children within the projected duration of the study, starting with the screening visit through 120 days after the last dose of study treatment * Has had an allogenic tissue/solid organ transplant