The purpose of this Phase Ib study is to test the safety of NG-monomethyl-L-arginine (L-NMMA) and pembrolizumab when used together in participants with melanoma, non-small cell lung cancer (NSCLC), head and neck squamous cell carcinoma (HNSCC), classical Hodgkin lymphoma (cHL), urothelial carcinoma, or microsatellite instability-high (MSI-H)/mismatch repair deficient (dMMR) cancer. Pembrolizumab is a type of treatment that stimulates the immune system to attack cancer cells. The immune system is normally the body's first defense against threats like cancer. However, sometimes cancer cells produce signals like programmed death-1 (PD-1) that prevent the immune system from detecting and killing them. Pembrolizumab blocks PD-1 so your immune system can detect and attack cancer cells. To help further boost the cancer-fighting ability of your immune system, L-NMMA will be used along with pembrolizumab. L-NMMA is a nitric oxide synthase inhibitor. The presence of nitric oxide synthase in the area around the cancer cells blocks the cancer-fighting ability of the immune system. Thus, the use of L-NMMA and pembrolizumab together may make the immune system work harder to attack and destroy the cancer cells.