Additional Study Information: The purpose of this study is to see if sacituzumab govitecan in combination with pembrolizumab can improve lifespans of patients with advanced triple-negative breast cancer (TNBC) and their tumor does not grow or spread when compared to chemotherapy (paclitaxel, or nab-paclitaxel, or the combination of gemcitabine and carboplatin), a commonly used treatment for previously untreated advanced TNBC. The combination of sacituzumab govitecan and pembrolizumab has not been approved by any health authorities for previously untreated advanced TNBC. Information on the side effects, study treatment benefit, your quality of life, and other supporting data will also be collected in this study. This is a randomized open-label study which means the study treatment you take will be chosen by chance (like the flip of a coin). You will have 1 out of 2 chances to receive sacituzumab govitecan in combination with pembrolizumab and 1 out of 2 chances to receive a study treatment of physicians choice in combination with pembrolizumab. Information on the side effects, study treatment benefit, your quality of life, and other supporting data will also be collected in this study.