Inclusion Criteria:

          -  Male/female participants who are at least 18 years of age on the day of signing
             informed consent with histologically confirmed diagnosis of Merkel cell carcinoma will
             be enrolled in this study. The clinical stage of the patient must be stage II, III, or
             IV (AJCC 8th edition) at the time of enrollment.

          -  Male participants:

          -  A male participant must agree to use contraception during the treatment period and for
             at least 6 days after the last dose of study treatment and refrain from donating sperm
             during this period.

          -  Female participants:

          -  A female participant is eligible to participate if she is not pregnant, not
             breastfeeding, and at least one of the following conditions applies: a.) Not a woman
             of childbearing potential (WOCBP) OR b.) A WOCBP who agrees to follow the
             contraceptive guidance in protocol during the treatment period and for at least 30
             days after the last dose of study treatment.

          -  The participant (or legally acceptable representative if applicable) provides written
             informed consent for the trial.

          -  Have clinically or radiographically detectable disease that is felt by the treating
             physician to be amenable to complete surgical resection.

          -  Have provided archival tumor tissue sample or newly obtained core or excisional biopsy
             of a tumor lesion not previously irradiated. Formalin-fixed, paraffin embedded (FFPE)
             tissue blocks are preferred to slides. Newly obtained biopsies are preferred to
             archived tissue.

          -  Have an Eastern Cooperative Oncology Group (ECOG) performance status of 0 or 1.

          -  Be willing and able to perform home blood pressure monitoring

          -  Have adequate organ function as defined in protocol

        Exclusion Criteria:

          -  A WOCBP who has a positive urine pregnancy test. If the urine test is positive or
             cannot be confirmed as negative, a serum pregnancy test will be required.

          -  Has received prior therapy with an anti-PD-1, anti-PD-L1, or anti-PD-L2 agent or with
             an agent directed to another stimulatory or co-inhibitory T-cell receptor (eg, CTLA-4,
             OX-40, CD137).

          -  Has receive prior therapy with a systemic anti-VEGFR inhibitor for oncologic purposes

          -  Uncontrolled blood pressure (Systolic BP>140 mmHg or diastolic BP >90 mmHg) in spite
             of an optimized regimen of antihypertensive medication.

          -  Significant cardiovascular impairment: history of congestive heart failure greater
             than New York Heart Association (NYHA) Class II, unstable angina, myocardial
             infarction or stroke within 6 months of the first dose of study drug, or cardiac
             arrhythmia requiring medical treatment at Screening.

          -  Bleeding or thrombotic disorders or subjects at risk for severe hemorrhage. The degree
             of tumor invasion/infiltration of major blood vessels (e.g. carotid artery) should be
             considered because of the potential risk of severe hemorrhage associated with tumor
             shrinkage/necrosis following lenvatinib therapy.

          -  Subjects having > 1+ proteinuria on urine dipstick testing unless a 24-hour urine
             collection for quantitative assessment indicates that the urine protein is <1 g/24
             hours.

          -  Has received prior systemic anti-cancer therapy including investigational agents
             within 4 weeks [could consider shorter interval for kinase inhibitors or other short
             half-life drugs] prior to [randomization /allocation]. Note: Participants must have
             recovered from all AEs due to previous therapies to ≤Grade 1 or baseline. Participants
             with ≤Grade 2 neuropathy may be eligible. Note: If participant received major surgery,
             they must have recovered adequately from the toxicity and/or complications from the
             intervention prior to starting study treatment.

          -  Has received prior radiotherapy within 2 weeks of start of study treatment.
             Participants must have recovered from all radiation-related toxicities, not require
             corticosteroids, and not have had radiation pneumonitis. A 1-week washout is permitted
             for palliative radiation (≤2 weeks of radiotherapy) to non-CNS disease.

          -  Has received a live vaccine within 30 days prior to the first dose of study drug.
             Examples of live vaccines include, but are not limited to, the following: measles,
             mumps, rubella, varicella/zoster (chicken pox), yellow fever, rabies, Bacillus
             Calmette-Guérin (BCG), and typhoid vaccine. Seasonal influenza vaccines for injection
             are generally killed virus vaccines and are allowed; however, intranasal influenza
             vaccines (eg, FluMist®) are live attenuated vaccines and are not allowed.

          -  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 treatment. Note: Participants who have entered the follow-up phase of an
             investigational study may participate as long as it has been 4 weeks after the last
             dose of the previous investigational agent.

          -  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 prior to the first dose of study drug.

          -  Has a known additional malignancy that is progressing or has required active treatment
             within the past 3 years. Note: Participants with basal cell carcinoma of the skin,
             squamous cell carcinoma of the skin, chronic lymphocytic leukemia or other indolent
             malignancy not requiring therapy and not expected to require therapy during the study
             treatment period, carcinoma in situ (e.g. breast carcinoma, cervical cancer in situ)
             that have undergone potentially curative therapy are not excluded.

          -  Has known active CNS metastases and/or carcinomatous meningitis.

          -  Has severe hypersensitivity (≥Grade 3) to pembrolizumab and/or any of its excipients.

          -  Has active autoimmune disease that has required systemic treatment in the past 2 years
             (i.e. with use of disease modifying agents, corticosteroids or immunosuppressive
             drugs). Replacement therapy (eg., thyroxine, insulin, or physiologic corticosteroid
             replacement therapy for adrenal or pituitary insufficiency, etc.) is not considered a
             form of systemic treatment.

          -  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 Human Immunodeficiency Virus (HIV).

          -  Has a known history of Hepatitis B (defined as Hepatitis B surface antigen [HBsAg]
             reactive) or known active Hepatitis C virus (defined as HCV RNA [qualitative] is
             detected) infection. Note: no testing for Hepatitis B and Hepatitis C is required
             unless mandated by local health authority.

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

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

          -  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 trial treatment.