This randomized phase III trial studies how well high-dose recombinant interferon alfa-2B or ipilimumab works compared with pembrolizumab in treating patients with stage III-IV melanoma that has been removed by surgery but is likely to come back or spread. High-dose recombinant interferon alfa-2B may help shrink or slow the growth of melanoma. Monoclonal antibodies, such as ipilimumab and pembrolizumab, may block tumor growth in different ways by targeting certain cells. It is not yet known whether high-dose recombinant interferon alfa-2B or ipilimumab is more effective than pembrolizumab in treating patients with melanoma.