Has a histologically‐ or cytologically‐confirmed diagnosis of Stage IV metastatic NSCLC (American Joint Committee on Cancer version 8)
Has measurable disease per RECIST 1.1 as determined by investigator
Has Eastern Cooperative Oncology Group (ECOG) performance status of 0 or 1
Has a life expectancy of >3 months
Has provided archival tumour tissue sample or newly obtained core or excisional biopsy of a tumour lesion not previously irradiated
Female participants of childbearing potential must have a negative serum pregnancy test within 72 hours prior to receiving the first dose of study therapy
Female and male participants of reproductive potential must agree to use contraception starting from the first dose of study medication, throughout the study period, and for up to 120 days after the last dose of study medication
Male participants must refrain from donating sperm starting from the first dose of study medication, throughout the study period, and for up to 120 days after the last dose of study medication
Has received prior systemic chemotherapy/other targeted or biological antineoplastic therapy treatment for their Stage IV metastatic NSCLC
Has a tumour that harbours an epidermal growth factor receptor (EGFR)‐sensitising (activating) mutation or an anaplastic lymphoma kinase (ALK) translocation
Is currently participating in or has participated in a trial of an investigational agent or has used an investigational device within 4 weeks prior to the first dose of study therapy
Has received prior therapy with an anti‐Programmed Cell Death Receptor 1 (PD‐1), Programmed Cell Death Receptor Ligand 1 (anti‐PD‐L1), or anti‐ Programmed Cell Death Receptor Ligand 2 (PD‐L2) agent or with an agent directed to another stimulatory or co‐inhibitory T‐cell receptor (e.g., cytotoxic T‐lymphocyte‐associated protein 4 (CTLA‐4], OX‐40, CD137)
Has received prior radiotherapy within 2 weeks of start of study therapy or received lung radiation therapy of >30 Gray (Gy) within 6 months of the first dose of study therapy
Has recovered from all radiation‐related toxicities, does not require corticosteroids, and has not had radiation pneumonitis
Is receiving systemic steroid therapy ≤7 days prior to the first dose of study therapy or receiving any other form of immunosuppressive medication
Has a known additional malignancy that is progressing or has required active treatment within the past 3 years with the exception of curatively treated basal cell carcinoma of the skin, squamous cell carcinoma of the skin and/or curatively resected in situ cancers
Has known untreated central nervous system (CNS) metastases and/or carcinomatous meningitis
Has an active autoimmune disease that has required systemic treatment in past 2 years (i.e., with use of disease‐modifying agents, corticosteroids, or immunosuppressive drugs)
Has a diagnosis of immunodeficiency or is receiving chronic systemic steroid therapy (i.e., doses exceeding 10 mg daily of prednisone equivalent) or any other form of immunosuppressive therapy within 7 days prior the first dose of study therapy
Has a history of (non‐infectious) pneumonitis that required systemic steroids or current pneumonitis/interstitial lung disease
Has had an allogeneic tissue/solid organ transplant
Has received a live vaccine within 30 days prior to the first dose of study therapy
Has an active infection requiring systemic 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 a known history of active tuberculosis
Has known psychiatric or substance abuse disorders that would interfere with cooperating with the requirements of the trial
Is a regular user of any illicit drugs or had a recent history of substance abuse
Is pregnant or breast feeding or expecting to conceive or father starting from the first dose of study medication, throughout the study period, and for up to 120 days after the last dose of study medication
Has severe hypersensitivity to pembrolizumab and/or any of its excipients and/or to ipilimumab and/or any of its excipients
Has a ROS1 translocation