Testing the Use of Combination Immunotherapy Treatment (N-803 [ALT-803] Plus Pembrolizumab) Against the Usual Treatment for Advanced Non-small Cell Lung Cancer (A Lung-MAP Treatment Trial)

Inclusion Criteria: * Participants must have been assigned to S1800D by the Southwest Oncology Group (SWOG) Statistics and Data Management Center (SDMC). Assignment to S1800D is determined by the LUNGMAP or S1400 protocol * Participants must have measurable or non-measurable disease documented by computed tomography (CT) or magnetic resonance imaging (MRI). Measurable disease must be assessed within 28 days prior to randomization. Non-measurable disease must be assessed within 42 days prior to randomization. The CT from a combined positron emission tomography (PET)/CT may be used only if it is of diagnostic quality. All known sites of disease must be assessed and documented on the Baseline Tumor Assessment Form (RECIST 1.1) * Participants must have a CT or MRI scan of the brain to evaluate for central nervous system (CNS) disease within 42 days prior to sub-study randomization * Participants with spinal cord compression or brain metastases must have received local treatment to these metastases and remained clinically controlled and asymptomatic for at least 7 days following stereotactic radiation and/or 14 days following whole brain radiation, and prior to sub-study randomization * Participants with spinal cord compression or brain metastases must not have residual neurological dysfunction, unless no further recovery is expected, and the participant has been stable on weaning doses of corticosteroids (=\< 10 mg daily prednisone or equivalent) prior to sub-study randomization…