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Simple Summary: Patients suffering from melanoma or metastatic cutaneous squamous cell carcinoma profit from immune checkpoint blockade as a therapy. Pneumonitis is a rare but potentially fatal immune-related adverse event, and even more subclinical damage is most likely to occur. The sensitive marker lung clearance index, integrated into pulmonary function testing, was used to detect possible early pulmonary impairment. As slightly impaired lung function could be observed, we recommend the sensitive marker lung clearance index as a diagnostic method that should be implemented into the clinical routine follow-ups during immune checkpoint therapy in order to enable possible further recommendations. Background: Immune checkpoint blockade (ICB) has presented a breakthrough in the treatment of malignant tumors and increased the overall survival of patients with various tumor entities. ICB may also cause immune-related adverse events, such as pneumonitis or interstitial lung disease. The lung clearance index (LCI) is a multiple-breath washout technique offering information on lung pathology in addition to conventional spirometry. It measures the degree of pulmonary ventilation inhomogeneity and allows early detection of pulmonary damage, especially that to peripheral airways. Methods: This cross-sectional study compared the lung function of patients with melanoma or metastatic cutaneous squamous cell carcinoma who received programmed cell death 1 (PD-1) and cytotoxic T-Lymphocyte-associated Protein 4 (CTLA-4) antibodies, alone or in combination, to age- and sex-matched controls. Lung function was assessed using spirometry, according to American Thoracic Society and European Respiratory Society standards, the LCI, and a diffusion capacity of carbon monoxide (DLCO) measurement. Results: Sixty-one screened patients and thirty-eight screened controls led to nineteen successfully included pairs. The LCI in the ICB-treated patients was 8.41 ± 1.15 (mean ± SD), which was 0.32 higher compared to 8.07 ± 1.17 in the control group, but the difference was not significant (p = 0.452). The patients receiving their ICB therapy for under five months showed a significantly lower LCI (7.98 ± 0.77) compared to the ICB patients undergoing therapy for over five months (9.63 ± 1.22) at the point of testing (p = 0.014). Spirometric analysis revealed that the forced expiratory volume between 25 and 75% of the forced vital capacity (FEF25–75%) in the ICB-treated patients was significantly reduced (p = 0.047) compared to the control group. DLCO (%predicted and adjusted for hemoglobin) was 94.4 ± 19.7 in the ICB patients and 93.4 ± 21.7 in the control group (p = 0.734). Conclusions: The patients undergoing ICB therapy showed slightly impaired lung function compared to the controls. Longer periods of ICB treatment led to deterioration of the LCI, which may be a sign of a subclinical inflammatory process. The LCI is feasible and may be easily integrated into the clinical daily routine and could contribute to early detection of pulmonary (auto-)inflammation. [ABSTRACT FROM AUTHOR]