Is expected to require any other form of antineoplastic therapy while on study. Expected to require any other form of systemic or localized antineoplastic therapy while in this study Is expected to require any non-protocol antineoplastic therapy while on study. Is expected to require any other form of antineoplastic therapy while on study. Is expected to require any other form of antineoplastic therapy while on study. Other form(s) of antineoplastic therapy anticipated during the period of the study. Expected to require any other form of systemic or localized antineoplastic therapy while on study Expected to require any other form of systemic or localized anticancer therapy while on study. Patient is expected to require any other form of systemic or localized antineoplastic therapy while on study Is expected to require any other form of systemic or localized antineoplastic therapy while on trial (including maintenance therapy with another agent for NSCLC or radiation therapy) Expected to require any other form of systemic antineoplastic therapy while receiving pembrolizumab Is expected to require any other form of systemic or localized antineoplastic therapy while on study Expected to require any other form of antineoplastic therapy while on study Patient is expected to require any other form of systemic or localized antineoplastic therapy while on study Patient is expected to require any other form of systemic or localized antineoplastic therapy while on study Is expected to require any other form of systemic or localized antineoplastic therapy while on study (including maintenance therapy with another agent for NSCLC, radiation therapy, and/or surgical resection) Systemic antineoplastic therapy Any antineoplastic therapy for this cancer before randomization Is expected to require any other form of antineoplastic therapy while on study. Subject is expected to require any other form of systemic or localized antineoplastic therapy while on study Expected to require any other form of antineoplastic therapy while on study Expected to require any other form of systemic or localized antineoplastic therapy during the study Expected to require any other form of systemic or localized antineoplastic therapy while on trial Patient is expected to require any other form of antineoplastic therapy while on study; including systemic chemotherapy, biological therapy, immunotherapy not specified in this protocol Patient is expected to require any other form of systemic or localized antineoplastic therapy while on study Patient is expected to require any other form of systemic or localized antineoplastic therapy while on study Is expected to require any other form of antineoplastic therapy for SCLC, including radiation therapy, while on study. (Prophylactic cranial irradiation will be possible for those participants with stable disease or better at the completion of the cycles of chemotherapy with or without pembrolizumab.) Is expected to require any other form of antineoplastic therapy while on study Is expected to require any other form of systemic or localized antineoplastic therapy while on study Is expected to require any other form of antineoplastic therapy while participating in the trial