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 (non-infectious) 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

          -  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