Safety and Tolerability of Pembrolizumab (MK-3475) + Pegylated Interferon Alfa-2b and Pembrolizumab+ Ipilimumab in Participants With Advanced Melanoma or Renal Cell Carcinoma (MK-3475-029/KEYNOTE-29)

Inclusion Criteria:

* Histologically- or cytologically-confirmed diagnosis of advanced/unresectable or metastatic MEL or RCC (Part 1A only) with predominantly clear cell elements
* Previously untreated stage III/IV advanced or metastatic MEL (Part 1C only)
* MEL subjects may be treatment naïve or may have received prior lines of therapy for metastatic disease (Parts 1A and 1B)
* RCC subjects must have received ≥1 prior line of therapy for metastatic disease (Part 1A)
* Measurable disease as defined by RECIST 1.1
* Must provide a tumor sample (archival or newly obtained biopsy) that is adequate for determination of PD (programmed cell death)-Ligand 1 status by immunohistochemistry at a central pathology laboratory prior to enrollment. Note: Adequacy of the tumor sample for PD-Ligand 1 testing is not required prior to enrollment in Part 1C
* Eastern Cooperative Oncology Group (ECOG) Performance Status of 0 or 1
* Adequate organ function
* Resolution of toxic effect(s) of the most recent prior chemotherapy to Grade 1 or less (Parts 1A and 1B) and/or recovered from major surgery or radiation therapy
* Female participants of childbearing potential must be willing to use adequate contraception during the course of the study through 120 days after the last dose of study drug
* Male participants must agree to use an adequate method of contraception starting with the first dose of study therapy through 120 days after the last dose of study drug

Exclusion Criteria

* Uveal or ocular MEL
* Prior therapy with an anti-programmed cell death (anti-PD)-1, anti-PD-Ligand 1, anti-PD-Ligand 2 or with an agent directed to another co-inhibitory T-cell receptor or has previously participated in a pembrolizumab clinical trial. Note: In Part 1C, participants may have received anti-PD-1 and/or anti-Cytotoxic T-lymphocyte-associated antigen 4 (anti-CTLA-4) as part of their neo/adjuvant treatment.
* Has received prior anti-cancer therapy, monoclonal antibody, chemotherapy, or an investigational agent or device within 4 weeks or 5 half-lives (whichever is longer) before first dose of trial drug or not recovered (≤ Grade 1 or at baseline) from AEs due to previously administered agents (Parts 1A and 1B)
* Diagnosis of immunodeficiency or is receiving chronic systemic steroid therapy (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
* Known additional malignancy that is progressing or requires active treatment with the exception of early stage cancers (carcinoma in situ or Stage 1) treated with curative intent, basal cell carcinoma of the skin, squamous cell carcinoma of the skin, or in situ cervical cancer or in situ breast cancer that has undergone potentially curative therapy
* Known active central nervous system (CNS) metastases and/or carcinomatous meningitis
* Severe hypersensitivity to any pembrolizumab excipients
* Active autoimmune disease requiring systemic treatment in the past 2 years
* History of (non-infectious) pneumonitis that required steroids or has current pneumonitis
* Active infection requiring systemic therapy
* Pregnant or breastfeeding, or expecting to conceive or father children within the projected duration of the trial from screening through 120 days after the last dose of study drug
* Prior therapy with interferon alfa (in neoadjuvant, adjuvant, or metastatic settings) (Part 1A only)
* Uncontrolled thyroid dysfunction
* Uncontrolled diabetes mellitus.
* Known history of human immunodeficiency virus (HIV)
* Known history of or is positive for Hepatitis B or Hepatitis C
* Received a live vaccine within 30 days prior to first dose of study drug