Substudy 02B is part of a larger research study where researchers are looking for new ways to treat advanced melanoma that has not been treated before. The larger study is the umbrella study. Researchers want to know if adding other treatments to pembrolizumab can treat advanced melanoma. The goals of this study are to learn: * About the safety and how well people tolerate pembrolizumab given with other treatments * How many people have melanoma that responds (gets smaller or goes away) to treatment