Inclusion Criteria:
* Between 6 months and \<18 years of age on day of signing informed consent is documented.
* Histologically- or cytologically-documented, locally-advanced, or metastatic solid malignancy or lymphoma that is incurable and has failed prior standard therapy, or for which no standard therapy exists, or for which no standard therapy is considered appropriate
* Any number of prior treatment regimens
* Tissue (or lymph node biopsy for rrcHL participants) available from an archival tissue sample or, if appropriate, a newly obtained core or excisional biopsy of a tumor lesion not previously irradiated
* Advanced melanoma or PD-L1-positive advanced, relapsed, or refractory solid tumor or lymphoma
* Measurable disease based on RECIST 1.1 (Or based on IWG \[Cheson, 2007\] \[i.e., measurement must be \>15 mm in longest diameter or \>10 mm in short axis\] for rrcHL participants)
* Participants with neuroblastoma with only metaiodobenzylguanidine (MIBG)-positive evaluable disease may be enrolled
* Lansky Play Scale ≥50 for participants from 6 months up to and including 16 years of age; or Karnofsky score ≥50 for participants \>16 years of age
* Adequate organ function
* Female participants of childbearing potential should have a negative urine or serum pregnancy test within 72 hours before the first dose of study medication
* Female participant is not a woman of childbearing potential (WOCBP) or is a WOCBP who is abstinent from heterosexual intercourse or using contraception during the intervention period and for at least 120 days after the last dose of study intervention
* Contraceptive use by men should be consistent with local regulations regarding the methods of contraception for those participating in clinical studies.
* Demonstrate adequate organ function.
Exclusion Criteria:
* Currently participating and receiving study therapy in, or has participated in a study of an investigational agent and received study therapy or used an investigational device within 4 weeks of the date of allocation/randomization
* Diagnosis of immunodeficiency or receiving systemic steroid therapy or any other form of immunosuppressive therapy within 7 days prior to the date of allocation/randomization
* Prior systemic anti-cancer therapy including investigational agent within 2 weeks prior to study Day 1 or not recovered from adverse events due to a previously administered agent
* Prior radiotherapy within 2 weeks of start of study treatment
* Known additional malignancy that is progressing or requires active treatment with the exception of basal cell carcinoma of the skin, squamous cell carcinoma of the skin or carcinoma in situ (eg, breast carcinoma, cervical carcinoma in situ) with potentially curative therapy, or in situ cervical cancer
* Known active central nervous system (CNS) metastases and/or carcinomatous meningitis
* Tumor(s) involving the brain stem
* Severe hypersensitivity (≥ Grade 3) to pembrolizumab and/or any of its excipients
* Active autoimmune disease that has required systemic treatment in past 2 years; replacement therapy (such as thyroxine, insulin, or physiologic corticosteroid replacement therapy for adrenal or pituitary insufficiency) is acceptable
* Has a history of (non-infectious) pneumonitis that required steroids or current pneumonitis.
* Active infection requiring systemic therapy
* Pregnant or breastfeeding, or expecting to conceive or father children within the projected duration of the trial through 120 days after the last dose of study medication
* Prior therapy with an anti-programmed cell death (PD)-1, anti-PD-ligand 1 (anti-PD-L1), anti-PD-L2 agent, or any agent directed to another stimulatory or inhibitory T-cell receptor (eg, cytotoxic lymphocyte associated protein-4 \[CTLA-4\], OX-40, CD137)
* Human immunodeficiency virus (HIV)
* Hepatitis B or C
* Known history of active tuberculosis (TB; Bacillus tuberculosis)
* Received a live vaccine within 30 days of planned start of study medication
* Has undergone solid organ transplant at any time, or prior allogeneic hematopoietic stem cell transplantation within the last 5 years. (Participants who have had an allogeneic hematopoietic transplant \>5 years ago are eligible as long as there are no symptoms of Graft Versus Host Disease \[GVHD\].)
* History or current evidence of any condition, therapy, or laboratory abnormality, or known severe hypersensitivity to any component or analog of the trial treatment, that might confound the results of the trial, or interfere with the participant's participation for the full duration of the study
* Known psychiatric or substance abuse disorders that would interfere with the requirements of the study
