This study is for patient that have been diagnosed with high-risk locally advanced cervical cancer. High-risk locally advanced cervical cancer includes participants who have Stage IB2-IIB disease with pelvic or para-aortic lymph node involvement or more advanced stages of locally advanced cervical cancer. The purpose of this study is to test the safety of the study drug, pembrolizumab, when given with chemoradiotherapy and to see how it works when given with chemotherapy and compares to treatment with chemotherapy alone. Participants can expect to be treated with study drugs for about 2 years.