Researchers are looking for new ways to treat high-risk non muscle invasive bladder cancer (HR NMIBC). NMIBC is cancer in the tissue that lines the inside of the bladder but has not spread to the bladder muscle or outside of the bladder. High-risk means NMIBC may have a high chance of getting worse or coming back after treatment. The goals of this study are to learn: 1. If more people who receive pembrolizumab with Bacillus Calmette-Guerin (BCG) have no signs of cancer in their body and live longer without the cancer growing, spreading, or coming back compared to people who receive BCG alone. 2. About the safety and how well people tolerate BCG alone or in combination with pembrolizumab.