This is a non-randomized, open-label study of MK-1966 used in combination with SD-101 in the treatment of advanced malignancies. The study will include an initial Dose Evaluation phase to determine the maximum tolerated dose (MTD)/maximum administered dose (MAD) by evaluating Dose Limiting Toxicities (DLTs) on four dose combinations of MK-1966 and SD-101. Following determination of the MTD/MAD, approximately 20 participants each will be enrolled in two expansion cohorts to confirm/refine the MTD/MAD.