Dose Evaluation of MK-1966 in Combination With SD-101 in Participants With Advanced Malignancies (MK-1966-001)

Inclusion Criteria:

* Has a histologically- or cytologically-confirmed advanced malignancy that has progressed after standard-of-care therapy/treatments and there is no available therapy likely to convey clinical benefit
* Has an Eastern Cooperative Oncology Group (ECOG) Performance Status of 0 or 1
* Has a life expectancy ≥ 6 months
* Female participants must not be pregnant (negative urine or serum human chorionic gonadotropin test at screening and again within 72 hours prior to receiving the first dose of study therapy)
* Female and male participants of reproductive potential must agree to use adequate contraception during the course of the study through 120 days after study the last dose of study therapy
* Has ability to submit archived or fresh tumor sample during the screening period

Exclusion Criteria:

* Has had chemotherapy, radiation, or biological cancer therapy within 4 weeks prior to the first dose of study therapy, or who has not recovered to Common Terminology Criteria for Adverse Events (CTCAE) grade 1 or better from the adverse events due to cancer therapeutics administered more than 4 weeks earlier
* Has participated in a study of an investigational agent and received study therapy or used an investigational device within 28 days of study start
* Is expected to require any other form of antineoplastic therapy while on study
* Is on chronic systemic steroid therapy in excess of replacement doses, or on any other form of immunosuppressive medication
* Has a history of a malignancy, unless potentially curative treatment has been completed, with no evidence of malignancy for 5 years
* Has known active central nervous system (CNS) metastases and/or carcinomatous meningitis
* Has had a severe hypersensitivity reaction to treatment with another monoclonal antibody
* Has an active autoimmune disease that has required systemic treatment in past 2 years
* Has an active infection requiring therapy
* Has active, current pneumonitis, or a history of (non-infectious) pneumonitis that required steroids
* Has had a prior stem cell or bone marrow transplant
* Is positive for Human Immunodeficiency Virus (HIV) and/or Hepatitis B or C
* Has known psychiatric disorder that would interfere with fulfilling the requirements of the study
* Is a regular user of any illicit drugs or had a recent history of substance abuse
* Has symptomatic ascites or pleural effusion
* Is pregnant or breastfeeding or expecting to conceive or father children within the projected duration of the study
* Has clinically significant heart disease that affects normal activities
* Has had major surgery (requiring at least a 3 day hospital stay) in the past 28 days
* Has received a live vaccine within 30 days prior to first dose of study therapy