Substudy 02B: Safety and Efficacy of Pembrolizumab in Combination With Investigational Agents or Pembrolizumab Alone in Participants With First Line (1L) Advanced Melanoma (MK-3475-02B/KEYMAKER-U02)

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

With Amendment 6, all arms are closed to enrollment. Participants in arms 2 (pembrolizumab), 3 (coformulation pembrolizumab/quavonlimab), and 4 (coformulation pembrolizumab/quavonlimab + lenvatinib) who complete study treatment or otherwise meet end of treatment (EOT) criteria will be discontinued from the study after completing the EOT visit and any required safety follow-up visits. Participants in arm 6 (coformulation favezelimab/pembrolizumab + All-trans Retinoic Acid \[ATRA\]) will discontinue ATRA and participants in arms 5 and 6 can continue on coformulation favezelimab/pembrolizumab or pembrolizumab.

Inclusion Criteria: * Has histologically or cytologically confirmed melanoma * Has unresectable Stage III or Stage IV melanoma, not amenable to local therapy * Has been untreated for advanced disease. * Has provided a tumor biopsy * If capable of producing sperm, male participants agree to the following during the intervention period and for at least the time needed to eliminate each study intervention after the last dose of study intervention (7 days): * Abstains from penile-vaginal intercourse as their preferred and usual lifestyle (abstinent on a long-term and persistent basis) and agrees to remain abstinent OR * Uses contraception unless confirmed to be azoospermic * A female participant is eligible to participate if she is not pregnant or breastfeeding, and at least one of the following conditions applies: * Is not a WOCBP OR * Is a WOCBP and Uses a contraceptive method that is highly effective, with low user dependency, or be abstinent from penile-vaginal intercourse as their preferred and usual lifestyle (abstinent on a long-term and persistent basis) during the intervention period and for at least the time needed to eliminate each study intervention after the last dose of study intervention. The length of time required to continue contraception for each study intervention is: * MK-4280A: 120 days * MK-1308A: 120 days * MK-7684: 50 days * MK-3475: 120 days * Lenvatinib: 30 days * ATRA: 30 days * Has adequate organ function * Has resolution of toxic effect(s) of the most recent prior therapy to Grade 1 or less (except alopecia and Grade 2 neuropathy) Exclusion Criteria: * Has a diagnosis of immunodeficiency or is receiving immunosuppressive therapy within 7 days before the first dose of study intervention * Has a known additional malignancy that is progressing or requires active treatment within the past 2 years * Has known central nervous system (CNS) metastases and/or carcinomatous meningitis * Has ocular or mucosal melanoma * Has an active autoimmune disease that has required systemic treatment in the past 2 years * Has an active infection requiring systemic therapy * Has known history of human immunodeficiency virus (HIV) * Has history of Hepatitis B or known Hepatitis C virus infection * Has a history of (noninfectious) pneumonitis * Has a history of active tuberculosis (TB) * Has received prior systemic anticancer therapy within 4 weeks prior to randomization * Has received prior radiotherapy within 2 weeks of first dose of study intervention * Has had major surgery \<3 weeks prior to first dose of study intervention * Has received a live vaccine within 30 days before the first dose of study intervention * Has participated in a study of an investigational agent within 4 weeks prior to the first dose of study intervention * Has had an allogeneic tissue/solid organ transplant * Has a known psychiatric or substance abuse disorder that would interfere with requirements of the study * Participants who receive lenvatinib have the following additional exclusion criteria: * Has a pre-existing Grade ≥3 gastrointestinal or non-gastrointestinal fistula * Has radiographic evidence of encasement of invasion of a major blood vessel, or of intratumoral cavitation * Has clinically significant hemoptysis or tumor bleeding within 2 weeks prior to the first dose of study intervention * Has clinically significant cardiovascular disease within 12 months from first dose of study intervention * Has urine protein ≥1 g/24-hour. * Has presence of gastrointestinal condition including malabsorption, gastrointestinal anastomosis, or any other condition that might affect the absorption of lenvatinib