Substudy 01I: A Study of Investigational Agents in Participants With Previously Treated Stage IV Squamous Non-small Cell Lung Cancer (NSCLC) (MK-3475-01I/KEYMAKER-U01I)

Inclusion Criteria: The main inclusion criteria include but are not limited to the following: * Histologically or cytologically confirmed diagnosis of Stage IV squamous non-small cell lung cancer (NSCLC) * Has documented disease progression per Response Evaluation Criteria In Solid Tumors 1.1 (RECIST 1.1), as assessed by investigator after receiving an anti-programmed cell death protein 1 (anti-PD-1)/programmed cell death ligand 1 (PD-L1) treatment and platinum-based chemotherapy for Stage IV disease * Human immunodeficiency virus (HIV)-infected participants must have well controlled HIV on antiretroviral therapy (ART) * Participants who are Hepatitis B surface antigen (HBsAg) positive are eligible if they have received Hepatitis B virus (HBV) antiviral therapy for at least 4 weeks, and have undetectable HBV viral load * Participants with history of Hepatitis C virus (HCV) infection are eligible if HCV viral load is undetectable Exclusion Criteria: The main exclusion criteria include but are not limited to the following: * Diagnosis of small cell lung cancer or, for mixed tumors, presence of small cell elements * Has uncontrolled or significant cardiovascular disorder * Clinically severe pulmonary compromise resulting from intercurrent pulmonary illnesses including, but not limited to, any underlying pulmonary disorder (ie, pulmonary emboli within 3 months, severe asthma, severe chronic obstructive pulmonary disease, restrictive lung disease, pleural effusion, etc), or any autoimmune, connective tissue, or inflammatory disorders with pulmonary involvement (ie, rheumatoid arthritis, Sjogren's syndrome, sarcoidosis, etc), or prior pneumonectomy * Participants who have adverse events (AEs) (other than alopecia) due to previous anticancer therapies must have recovered to ≤Grade 1 or baseline * Evidence of ongoing uncontrolled systemic bacterial, fungal, or viral infection (including HIV infection) * Has clinically significant corneal disease * Known additional malignancy that is progressing or has required active treatment within the past 3 years * Has known untreated central nervous system (CNS) metastases and/or carcinomatous meningitis * Evidence of any leptomeningeal disease * History of (noninfectious) pneumonitis/Interstitial Lung Disease (ILD) that required steroids or has current pneumonitis/ILD, and/or suspected ILD/pneumonitis * Active autoimmune disease that has required systemic treatment in the past 2 years. Replacement therapy (eg, thyroxine, insulin, or physiologic corticosteroid) is allowed * Active infection requiring systemic therapy * HIV-infected participants with a history of Kaposi's sarcoma and/or Multicentric Castleman's Disease * Active inflammatory bowel disease requiring immunosuppressive medication or previous clear history of inflammatory bowel disease (eg, Crohn's disease, ulcerative colitis, or chronic diarrhea) * Known history of, or active, neurologic paraneoplastic syndrome * History of allogeneic tissue/solid organ transplant * Has not adequately recovered from major surgery or have ongoing surgical complications