Study of All-Trans Retinoic Acid (ATRA) and Cemiplimab in Patients With Advanced Leiomyosarcoma

Inclusion Criteria: * Age ≥18 years * Confirmed metastatic or locally advanced - unresectable Leiomyosarcoma (LMS) * Measurable disease based on RECIST 1.1. (At least one target lesion) * Patients must have received standard of care chemotherapy. No limits to prior lines of therapy. * Prior PD-1 and/or PD-L1 directed therapies are permitted. Minimal wash out period of 3 weeks for Pembrolizumab, Nivolumab , Durvalumab, 4 weeks for Ipilimumab. * ECOG performance status of 0-2. * Adequate organ function, as defined below. * Absolute neutrophil count (ANC) ≥ 1,500 /mcL, hemoglobin ≥9 g/dL (patients may be transfused to meet this criterion), lymphocytes ≥ 500/mcL, platelets ≥ 100,000/mcL * Serum creatinine ≤ 1.5 X upper limit of normal (ULN) or measured or calculated creatinine clearance (CrCl) ≥ 60 mL/min for patients with creatinine levels \> 1.5 X ULN (glomerular filtration rate \[GFR\] can also be used in place of creatinine or CrCl) * Serum total bilirubin ≤ 1.5 X ULN or direct bilirubin ≤ ULN for patients with total bilirubin levels \> 1.5 X ULN. FOr patients with known Gilbert disease, serum bilirubin ≤ 3 X ULN * Aspartate aminotransferase (AST) and alanine transaminase (ALT) ≤ 2.5 X ULN or ≤ 5 X ULN for patients with liver metastases * albumin ≥ 2.5 g/dL * International Normalized Ratio (INR) or Prothrombin Time (PT) ≤1.5 X ULN unless patients is receiving anticoagulant therapy as long as PT or PTT is within therapeutic range of intended use of anticoagulants * Activated Partial Thromboplastin Time (aPTT) ≤1.5 X ULN unless the patients is receiving anticoagulant therapy as long as PT or PTT is within therapeutic range of intended use of anticoagulants * Anticipated life expectancy of ≥ 6 months. * Willing to comply with study procedures * Female patients of childbearing potential should have a negative urine or serum pregnancy within 14 days prior to receiving the first dose of study medication. If the urine test is positive or cannot be confirmed as negative, a serum pregnancy test will be required. * Be willing and able to understand and sign the written informed consent document. * Ability to swallow and retain oral medication. * HIV-infected patients on effective anti-retroviral therapy with undetectable viral load within 6 months are eligible for this trial. Testing not indicated for patients without known history of HIV. * For patients with evidence of chronic hepatitis B virus (HBV) infection, the HBV viral load must be undetectable on suppressive therapy, if indicated. Testing not indicated for patients without known history of HBV. * Patients with a history of hepatitis C virus (HCV) infection must have been treated and cured. Testing not indicated for patients without known history of HCV. Exclusion Criteria: * Is currently participating and receiving study therapy or has participated in a study of an investigational agent and received study therapy or used an investigational device within 4 weeks of the first dose of treatment. * Active or history of autoimmune disease or immune deficiency, including, but not limited to, myasthenia gravis, myositis, autoimmune hepatitis, systemic lupus erythematosus, rheumatoid arthritis, inflammatory bowel disease, antiphospholipid antibody syndrome, Wegener granulomatosis, Sjögren syndrome, Guillain-Barré syndrome, or multiple sclerosis with the following exceptions: * Patients with a history of autoimmune-related hypothyroidism who are stable on thyroid-replacement hormone are eligible for the study * Patients with controlled Type 1 diabetes mellitus who are on an insulin regimen are eligible for the study. * Patients with eczema, psoriasis, lichen simplex chronicus, or vitiligo with dermatologic manifestations only (e.g., patients with psoriatic arthritis are excluded) are eligible for the study provided all of following conditions are met: * Rash must cover ≤ 10% of body surface area * Disease is well controlled at baseline and requires only low-potency topical corticosteroids * No occurrence of acute exacerbations of the underlying condition requiring psoralen plus ultraviolet A radiation, methotrexate, retinoids, biologic agents, oral calcineurin inhibitors, or high-potency or oral corticosteroids within the previous 12 months * Has a diagnosis of immunodeficiency or is receiving systemic steroid therapy at doses \> 10 mg prednisone or equivalent or other form of immunosuppressive therapy within 14 days prior to the first dose of trial treatment. * Cirrhosis (Child-Pugh B or worse) or cirrhosis with history of hepatic encephalopathy or clinically meaningful ascites resulting from cirrhosis. Clinically meaningful ascites is defined as ascites from cirrhosis requiring increasing dosage of diuretics or paracentesis. * Has symptomatic central nervous system (CNS) metastases and/or carcinomatous meningitis. Patients with asymptomatic CNS lesions will be eligible if considered appropriate by the treating physician. Patients with previously treated brain metastases may participate provided they have had a stable neurological status for at least 2 weeks after completion of definitive therapy. Patients may be on corticosteroids (≤ 10 mg of prednisone-equivalent) to control brain metastases if they have been on a stable dose for 2 weeks (14 days) prior to the start of study treatment and are clinically asymptomatic. This exception does not include carcinomatous meningitis which is excluded regardless of clinical stability. * Pregnancy or breastfeeding or intention of becoming pregnant during study treatment or within 180 days for Cemiplimab after the final dose of study treatment * Women of childbearing potential must have a negative serum pregnancy test result within 14 days prior to initiation of study treatment. * Highly effective contraception should be used in women of childbearing potential during treatment with Cemiplimab and for at least 6 months following the last dose of Cemiplimab. * Any pa