Efficacy and Safety of Pembrolizumab (MK-3475) in Combination With Bacillus Calmette-Guerin (BCG) in High-Risk Non-Muscle Invasive Bladder Cancer (HR NMIBC) (MK-3475-676/KEYNOTE-676)

Inclusion Criteria: * Have locally and blinded independent central review (BICR)-confirmed histological diagnosis of high-risk non-muscle invasive (T1, high grade Ta and/or CIS) UC of the bladder * Has undergone cystoscopy/ transurethral resection of bladder tumor (TURBT) to remove all resectable disease * Has provided tissue for biomarker analysis * Has Eastern Cooperative Oncology Group (ECOG) performance status of 0, 1 or 2 * Has adequate organ function * During the treatment period and for ≥7 days after the last dose of BCG, male participants are EITHER abstinent from heterosexual intercourse as their preferred and usual lifestyle and agree to remain abstinent, OR, must agree to use contraception unless confirmed to be azoospermic * Female participants who are not pregnant, not breastfeeding, and either not a woman of child bearing potential (WOCBP); or are a WOCBP who agrees to use a contraception method that is highly effective or remains abstinent from heterosexual intercourse during the treatment period and for ≥7 days after the last dose of BCG or 120 days after the last dose of pembrolizumab, whichever comes last BCG Post-induction Cohort (Cohort A) Only * Has been treated with one adequate course of BCG induction therapy for the treatment of HR NMIBC * Following adequate BCG induction therapy, must have persistent or recurrent HR NMIBC Exclusion Criteria: * Has a history of or concurrent locally advanced (i.e., T2, T3, T4) or metastatic UC * Has concurrent extra-vesical (i.e, urethra, ureter, renal pelvis) non-muscle invasive urothelial carcinoma or a history of extra-vesical non-muscle invasive UC * Has received prior therapy with anti-PD-1, anti-PD-L1, or anti-PD-L2 agent or with an agent directed to another stimulatory or co-inhibitory T-cell receptor * Has received prior systemic anti-cancer therapy including investigational agents within 4 weeks of start of study treatment * Is currently participating in or has participated in a study of an investigational agent or has used an investigational device within 4 weeks of start of study treatment * Has a diagnosis of immunodeficiency or is receiving chronic systemic steroid therapy or any other form of immunosuppressive therapy within 7 days of start of study treatment * Has a known additional malignancy that is progressing or requires active treatment within the past 3 years * Has an active autoimmune disease that has required systemic treatment in past 2 years * Has a history of (non-infectious) pneumonitis/interstitial lung disease that required steroids or has current pneumonitis/interstitial lung disease * Has one or more of the following contraindications to BCG: prior BCG sepsis or systemic infection, total bladder incontinence, or an adverse experience to a previous BCG instillation that resulted in treatment discontinuation and precludes retreating with BCG * Has an active infection or diagnosis requiring systemic antimicrobial therapy * Has a known history of human immunodeficiency virus (HIV) infection * Has a known history of Hepatitis B or known active Hepatitis C virus infection * Has current active tuberculosis * Has had an allogenic-tissue/solid organ transplant * Has any contraindication(s) to IV contrast or is otherwise unable to have screening imaging with IV contrast performed BCG Post-induction Cohort (Cohort A) Only - Has persistent T1 disease following an induction course of BCG BCG Naïve Cohort (Cohort B) Only \- Has received any prior treatment with BCG for their NMIBC within the past 2 years prior to study entry