- Has non-squamous histology NSCLC. - Is currently participating and receiving study therapy or has participated in a study of an investigational agent and received study therapy or used an investigational device within 4 weeks prior to administration of pembrolizumab. - Before the first dose of study drug: a) Has received prior systemic cytotoxic chemotherapy for metastatic disease; b) Has received other targeted or biological antineoplastic therapy (e.g., erlotinib, crizotinib, cetuximab) for metastatic disease; c) Has had major surgery (<3 weeks prior to first dose). - Received radiation therapy to the lung that is > 30 Gy within 6 months of the first dose of study drug. - Completed palliative radiotherapy within 7 days of the first dose of study drug. - Is expected to require any other form of antineoplastic therapy while on study. - Has received a live-virus vaccination within 30 days of planned treatment start. - Has a known history of prior malignancy except if the participant has undergone potentially curative therapy with no evidence of that disease recurrence for 5 years since initiation of that therapy. - Has known active central nervous system (CNS) metastases and/or carcinomatous meningitis. - Has pre-existing peripheral neuropathy that is ≥ Grade 2 by Common Terminology Criteria for Adverse Events (CTCAE) version 4 criteria. - Previously had a severe hypersensitivity reaction to treatment with another monoclonal antibody. - Has a known sensitivity to any component of carboplatin or paclitaxel or nab-paclitaxel. - Has active autoimmune disease that has required systemic treatment in past 2 years. - Is on chronic systemic steroids. - Had prior treatment with any other anti-programmed cell death 1 (anti-PD-1), or programmed cell death ligand 1 (PD-L1) or PD-L2 agent or an antibody or a small molecule targeting other immuno-regulatory receptors or mechanisms. - Has participated in any other pembrolizumab trial and has been treated with pembrolizumab. - Has an active infection requiring therapy. - Has known history of Human Immunodeficiency Virus (HIV). - Has known active Hepatitis B or C. Active Hepatitis B. - Is, at the time of providing documented informed consent, a regular user (including "recreational use") of any illicit drugs or has a recent history (within the last year) of substance abuse (including alcohol). - Has interstitial lung disease or a history of pneumonitis that required oral or intravenous glucocorticoids to assist with management.