Inclusion Criteria:

          -  Has locally recurrent inoperable breast cancer not previously treated with
             chemotherapy and which cannot be treated with curative intent OR has metastatic breast
             cancer not previously treated with chemotherapy.

          -  Has centrally confirmed TNBC, as defined by the most recent American Society of
             Clinical Oncology/college of American Pathologists (ASCO/CAP) guidelines.

          -  Has completed treatment for Stage I-III breast cancer, if indicated, and ≥6 months
             elapsed between the completion of treatment with curative intent (e.g., date of
             primary breast tumor surgery or date of last adjuvant chemotherapy administration,
             whichever occurred last) and first documented local or distant disease recurrence.

          -  Has been treated with (neo)adjuvant anthracycline, if they received systemic treatment
             in the (neo)adjuvant setting, unless anthracycline was contraindicated or not
             considered the best treatment option for the participant in the opinion of the
             treating physician.

          -  Has measurable disease based on Response Evaluation Criteria in Solid Tumors version
             1.1 (RECIST 1.1) as determined by local radiology review.

          -  Has provided recently or newly obtained core or excisional biopsy from a locally
             recurrent inoperable or metastatic tumor lesion for central determination of TNBC
             status and PD-L1 expression, unless contraindicated due to site inaccessibility and/or
             participant safety concerns.

          -  Has an Eastern Cooperative Oncology Group (ECOG) performance status of 0 or 1, as
             assessed within 10 days prior to the start of study drug.

          -  Has a life expectancy ≥12 weeks from randomization.

          -  Demonstrates adequate organ function, within 10 days prior to the start of study drug.

          -  Female participants of childbearing potential must be willing to use an adequate
             method of contraception for the course of the study through 120 days (or longer as
             specified by local institutional guidelines) after the last dose of study drug.

          -  Male participants of childbearing potential must agree to use an adequate method of
             contraception starting with the first dose of study drug through 120 days (or longer
             as specified by local institutional guidelines) after the last dose of study drug.

        Exclusion Criteria:

          -  Is currently participating in a clinical study and receiving an investigational agent
             and/or using an investigational device, or has participated in a clinical study and
             received an investigational agent and/or used an investigational device within 4 weeks
             prior to randomization.

          -  Has not recovered (e.g., to ≤ Grade 1 or to baseline) from AEs due to a previously
             administered therapy.

          -  Has neuropathy ≥ Grade 2.

          -  Has an active autoimmune disease that has required systemic treatment in the past 2
             years (e.g., with use of disease modifying agents, corticosteroids, or
             immunosuppressive drugs).

          -  Has a diagnosis of immunodeficiency or is receiving systemic steroid therapy or any
             other form of immunosuppressive therapy within 7 days prior to randomization.

          -  Has a known additional malignancy that progressed or required active treatment within
             the last 5 years. Exceptions include basal cell carcinoma of the skin, squamous cell
             carcinoma of the skin that has undergone potentially curative therapy, and in situ
             cervical cancer.

          -  Has known active central nervous system (CNS) metastases and/or carcinomatous
             meningitis. Participants with previously treated brain metastases may participate
             provided they have stable brain metastases and did not receive chemotherapy for
             metastatic breast cancer.

          -  Has history of (non-infectious) pneumonitis that required steroids or current
             pneumonitis.

          -  Has active, or a history of, interstitial lung disease.

          -  Has a known history of active tuberculosis (TB).

          -  Has an active infection requiring systemic therapy.

          -  Has a history of Class II-IV congestive heart failure or myocardial infarction within
             6 months of randomization.

          -  Has a known psychiatric or substance abuse disorders that would interfere with
             cooperation with the requirements of the study.

          -  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
             (or longer as specified by local institutional guidelines) after the last dose of
             study drug.

          -  Has received prior therapy with an anti-programmed cell death 1 (anti-PD-1),
             anti-PD-L1, or anti-PD-L2 agent or with an agent directed to another co-inhibitory T
             cell receptor (such as cytotoxic T-lymphocyte-associated protein 4 [CTLA-4], OX-40,
             CD137) or has previously participated in Merck pembrolizumab (MK-3475) clinical
             studies.

          -  Has a known history of human immunodeficiency virus (HIV).

          -  Has known active hepatitis B or hepatitis C.

          -  Has received a live vaccine within 30 days prior to randomization.

          -  Has a known history of hypersensitivity or allergy to pembrolizumab and any of its
             components and/or to any of the study chemotherapies (e.g., nab-paclitaxel,
             paclitaxel, gemcitabine, or carboplatin) and any of their components.

          -  Is receiving any medication prohibited in combination with study chemotherapies as
             described in the respective product labels, unless medication was stopped within 7
             days prior to randomization.