The purpose of this study is to gather information on the safety and effectiveness of lenvatinib combined with pembrolizumab in anal/rectal cancer that has spread to other parts of the body and will not respond to standard care.

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 .