Lenvatinib and Pembrolizumab to Treat Patients With Anal or Rectum Cancer That Has Gotten Worse After Initial Treatment

Inclusion Criteria: * Histological confirmation of anorectal squamous cell carcinoma per the American Joint Committee on Cancer 8th edition. NOTE: If archived tissue is not available for diagnostic histological confirmation \[core, incisional, or excisional\], a new biopsy of a tumor lesion prior to tumor irradiation should be obtained. * Unresectable locally advanced or metastatic anorectal squamous cell carcinoma following progression on first line chemotherapy or chemoradiation therapy. Prior use of immunotherapy with Retifanlimab is allowed but not mandatory. * Prior chemoradiation therapy with either definitive intent or palliative intent is allowed. * Measurable disease based on Response Evaluation Criteria In Solid Tumors 1.1 Lesions situated in a previously irradiated area are considered measurable if progression has been demonstrated in such lesions within 28 days prior to registration. Exclusion Criteria: * Has received prior therapy with an anti-PD-1, anti- PDL1, or anti-PD-L2 agent or with an agent directed to another stimulatory or co-inhibitory T cell receptor (eg, CTLA-4, OX-40, CD137) with the exception of Retifanlimab immunotherapy. * Prior significant immunotherapy related adverse events requiring permanent discontinuation of the immunotherapy agents including events like pneumonitis, myocarditis, renal failure, Guillain Barre syndrome or myasthenia gravis. * Active autoimmune disease with ongoing treatment with chronic immunosuppressive therapy such as DMARDs .