The purpose of this study is to learn about the safety and effects of the study medicine (sasanlimab) in people with non-muscle invasive bladder cancer. This study is seeking participants whose bladder cancer is still in early stages, has not spread outside of the bladder, has been removed with surgery, and is high risk (Part A) or was previously treated with BCG (Bacillus Calmette Guerin), a standard treatment for bladder cancer (Part B). In Part A (enrollment closed), each participant was assigned to one of three study treatment groups. * One group is given sasanlimab and BCG at the study clinic. * The second group is given sasanlimab and BCG at the study clinic. This group will receive BCG for the first six weeks only. * The third group is given BCG only and will not receive sasanlimab. In Part B of the study, each new participant will be assigned to a study treatment group based on the type of their bladder tumor. \- Both groups will be given sasanlimab at the study clinic. On August 31, 2022, the Sponsor announced the discontinuation of enrollment to Part B. The decision to discontinue enrollment to Part B was not made for safety reasons.