Inclusion Criteria:

          -  Has histologically or cytologically confirmed diagnosis of advanced/metastatic
             melanoma

          -  Has Stage III or Stage IV melanoma

          -  Must be naive to anti-PD-L1 treatment, talimogene laherparepvec (TVEC) and other
             oncolytic viruses

          -  Has 2 lesions as defined below:

               -  At least 1 cutaneous or subcutaneous lesion that is amenable to IT injection and
                  biopsy and measurable per RECIST 1.1

               -  At least 1 distant and/or discrete noninjected lesion that is amenable to biopsy
                  and measurable per RECIST 1.1

          -  Has a performance status of 0 or 1 on the Eastern Cooperative Oncology Group (ECOG)
             Performance Scale

          -  Demonstrates adequate organ function

          -  Male participants refrain from donating sperm during the intervention period and for
             at least 120 days after the last dose of study intervention PLUS are either abstinent
             from heterosexual intercourse OR agree to use approved contraception during that
             period

          -  Female participants are not pregnant or breastfeeding and are not a woman of
             childbearing potential (WOCBP) OR are a WOCBP that agrees to use contraception during
             the treatment and for at least 120 days after the last dose of study intervention

          -  Has measurable disease per RECIST 1.1

          -  Is able to provide newly obtained core or excisional biopsy of a tumor lesion not
             previously irradiated

          -  Human Immunodeficiency Virus (HIV)-infected participants must have well controlled HIV
             on anti-retroviral therapy (ART), defined as:

               -  Must have Cluster of Differentiation 4 (CD4)+ T-cell count >350 cells/mm^3 at
                  time of screening

               -  Must have achieved and maintained virologic suppression

               -  Must have been on a stable regimen, without changes in drugs or dose
                  modification, for at least 4 weeks prior to study entry

               -  The combination ART regimen must not contain any antiretroviral medication other
                  than abacavir, dolutegravir, emtricitabine, lamivudine, raltegravir, rilpivirine,
                  or tenofovir

        Exclusion Criteria:

          -  Has had chemotherapy, definitive radiation, or biological cancer therapy or an
             investigational agent or investigational device within 4 weeks prior to the first dose
             of study intervention or has not recovered to Common Terminology Criteria for Adverse
             Events (CTCAE) Grade 1 or better from any AEs that were due to cancer therapeutics
             administered more than 4 weeks earlier

          -  Has ocular melanoma

          -  Has radiographic evidence of major blood vessel infiltration

          -  Has clinically significant hemoptysis or tumor bleeding within 2 weeks prior to the
             first dose of study drug

          -  Has an active autoimmune disease that has required systemic treatment in the past 2
             years except vitiligo or resolved childhood asthma/atopy

          -  HIV-infected participants with a history of Kaposi's sarcoma and/or Multicentric
             Castleman's Disease

          -  Has a known psychiatric or substance abuse disorder that would interfere with the
             participant's ability to cooperate with the study requirements

          -  Has undergone allogeneic hematopoietic stem cell transplantation within the last 5
             years

          -  Has not fully recovered from major surgery without significant detectable infection

          -  Active cardiovascular disease (<6 months prior to enrollment), myocardial infarction
             (<6 months prior to enrollment), unstable angina, congestive heart failure or serious
             cardiac arrhythmia requiring medication

          -  Has received prior therapy with an anti-PD-1, anti-PD-L1, or anti PD-L2 agent or other
             agents such as cytotoxic T-lymphocyte-associated protein-4 (CTLA-4), OX-40, Cluster of
             Differentiation 137 (CD137)

          -  Has received a live vaccine within 30 days prior to the first dose of study drug

          -  Is currently participating in or has participated in a study of an investigational
             agent or has used an investigational device within 4 weeks prior to the first dose of
             study intervention

          -  Has a diagnosis of immunodeficiency or is receiving chronic systemic steroid therapy
             in excess of replacement doses or any other form of immunosuppressive therapy within 7
             days prior the first dose of study drug

          -  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 hypersensitivity to pembrolizumab and/or any of its excipients

          -  Has hypersensitivity to V937 or any of its excipients

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

          -  Has an active infection requiring systemic therapy

          -  Has a known history of Hepatitis B or known active Hepatitis C virus infection

          -  Has a history or current evidence of any condition, therapy, or laboratory abnormality
             that might confound the results of the study, interfere with the participant's
             participation for the full duration of the study, or is not in the best interest of
             the participant to participate, in the opinion of the treating investigator

          -  Has had an allogenic tissue/solid organ transplant