This study will consider the safety and effectiveness of a study drug, CAN04, in combination with pembrolizumab, in the treatment of incurable or metastatic non-small-cell lung cancer (NSCLC), head and neck squamous cell carcinoma, urothelial cancer, or malignant melanoma. The study aims to establish a recommended dose of CAN04 in combination with the standard dose of pembrolizumab (Part 1), and in combination with pembrolizumab standard dose, and Standard of Care carboplatin and pemetrexed (Part 2 - subjects with stage IV, non-squamous metastatic NSCLC). CAN04, pembrolizumab. carboplatin and pemetrexed will be administered intravenously.

Inclusion Criteria (Part 1):

• Subjects with metastatic or locally advanced, incurable non-small-cell lung cancer (NSCLC [adenocarcinoma, adenosquamous, or squamous]), head and neck squamous cell carcinoma (HNSCC), urothelial cancer, or malignant melanoma who have exhausted or declined available standard therapy.
• Subjects progressing on previous treatment with a checkpoint inhibitor targeting thePD-1/PD-L1 pathway, alone or in combination with chemotherapy after previously having achieved stable disease or better and stayed on such therapy for ≥12 weeks.
• Primary or metastatic lesion suitable for biopsy and willingness to undergo repeat biopsies as appropriate.
• Willing and able to provide intravenous access for the administration of the study drug and for blood sampling/testing.

Inclusion Criteria (Part 2):

• Subjects with histologically confirmed non-squamous metastatic (stage IV) NSCLC, without option for locoregional treatment with curative intent.
• Subjects who have not received prior systemic anti-cancer therapy for the locally advanced or metastatic NSCLC. Subjects who received adjuvant or neoadjuvant therapy are eligible if the adjuvant/neoadjuvant therapy was completed at least 12 months prior to the development of metastatic disease.
• Ability to safety undergo pre-treatment (if no archival biopsy is available) and on-treatment tumor biopsies.
• Subject consents to retrieval of archival tumor tissue for screening in case no fresh biopsy is performed during screening.
• Willing and able to provide intravenous access for the administration of the study drug and for blood sampling/testing.

Exclusion Criteria (Parts 1 and 2):

• Subjects with NSCLC tumors with genetic alteration or mutation, for which FDA-approved targeted therapy is available.
• Treatment with systemic anticancer treatments, investigational products, or major surgery within 4 weeks before first dose of study drug or 5 half-lives, whichever is shorter. Subjects should have recovered from previous treatment toxicity (except hair loss and peripheral neuropathy).
• History of uncontrolled brain metastasis.
• Subject has received extended field radiotherapy ≤4 weeks before the start of treatment (≤2 weeks for limited field radiation to alleviate symptoms), and who has not recovered from related side effects of such therapy (except for hair loss).
• Subjects who have previously experienced an immune-related adverse event (irAE) to pembrolizumab, for which permanent discontinuation is required. Subjects without a formal contraindication due to previous irAE are not eligible if the AE has not resolved or requires steroids (>10 mg prednisone-equivalent per day) for ongoing management.
• Subjects with active severe infection requiring oral antibiotics.
• Clinical evidence of an active second invasive malignancy with the exception of stable prostate cancer on watchful waiting.
• Uncontrolled or significant cardiovascular disease.
• History of autoimmune disease requiring systemic immunosuppressive therapy (daily prednisone equivalent doses >10 mg/day).
• HIV patients can be enrolled if the infection is adequately controlled.
• Known bleeding disorder or coagulopathy. Subjects on stable anticoagulant therapy are allowed.
• Known or suspected allergy to study treatment or related products.
• Women who are pregnant or breastfeeding, or trying to become pregnant.
• Patients with chronic viral hepatitis.

Exclusion criteria (Part 2):

• Previous therapy with immunotherapy (anti-PD-1, anti-PD-L1, and anti-PD-L2, anti-CTLA-4, or other approved or investigational checkpoint-inhibitors).
• Subject is unable or unwilling to take folic acid or vitamin B12 supplementation.
• Subject is unable to interrupt aspirin or other nonsteroidal anti-inflammatory drugs (NSAIDS), other than an aspirin dose ≤ 1.3 g per day, for a 5-day period (8-day period for long-acting agents, such as piroxicam).

Other protocol-defined inclusion/exclusion criteria may apply.