Substudy 02A: Safety and Efficacy of Pembrolizumab in Combination With Investigational Agents in Participants With Programmed Cell-death 1 (PD-1) Refractory Melanoma (MK-3475-02A/KEYMAKER-U02)

Inclusion Criteria: * Has histologically or cytologically confirmed melanoma * Has unresectable Stage III or Stage IV melanoma, not amenable to local therapy * Has progressed on treatment with an anti-PD-1/L1 monoclonal antibody (mAb) administered either as monotherapy, or in combination with other therapies * Has imaging documenting progression per RECIST 1.1 and iRECIST after initiation of an anti-PD-1/L1 agent, or by RECIST 1.1 if progression occurred on adjuvant therapy or in the setting of rapid progression. * Has not received more than 3 lines of therapy for their advanced melanoma * Has provided a tumor biopsy * Male participants who receive lenvatinib or ATRA are abstinent from heterosexual intercourse or agree to use contraception during the intervention period and for at least 7 days after the last dose of lenvatinib or ATRA; for male participants who only receive pembrolizumab, quavonlimab, vibostolimab, or a combination, no contraception measures are needed * Female participant are not pregnant or breastfeeding and are either not a woman of child-bearing potential (WOCBP) OR use a contraceptive method that is highly effective or are abstinent from heterosexual intercourse during the intervention period and for at least 120 days after the last dose of pembrolizumab, quavonlimab, vibostolimab or 30 days after the last dose of lenvatinib or ATRA, whichever occurs last * Has adequate organ function * Has resolution of toxic effect(s) of the most recent prior therapy to Grade 1 or less (except alopecia) Exclusion Criteria: * Has a diagnosis of immunodeficiency or is receiving immunosuppressive therapy within 7 days before the first dose of study intervention * Has a known additional malignancy that is progressing or requires active treatment within the past 2 years * Has known central nervous system (CNS) metastases and/or carcinomatous meningitis * Has ocular or mucosal melanoma * Has known hypersensitivity including previous clinically significant hypersensitivity reaction to treatment with another mAb * Has an active autoimmune disease that has required systemic treatment in the past 2 years * Has an active infection requiring systemic therapy * Has known history of human immunodeficiency virus (HIV) * Has known history of hepatitis B * Has a history of (noninfectious) pneumonitis * Has a history of active tuberculosis (TB) * Has received prior systemic anticancer therapy within 4 weeks prior to randomization * Has received prior radiotherapy within 2 weeks of first dose of study intervention * Has had major surgery \<3 weeks prior to first dose of study intervention * Has received a live vaccine within 30 days before the first dose of study intervention * Has participated in a study of an investigational agent within 4 weeks prior to the first dose of study intervention * Has had an allogeneic tissue/solid organ transplant * Has a pre-existing Grade ≥3 gastrointestinal fistula or nongastrointestinal fistula * Has radiographic evidence of encasement of invasion of major blood vessel or of intratumoral cavitation * Has clinically significant hemoptysis or tumor bleeding within 2 weeks prior to the first dose of study intervention * Has clinically significant cardiovascular disease within 12 months from first dose of study intervention