This study if for patients with undifferentiated pleomorphic sarcoma (UPS) or a related poorly differentiated sarcoma that has spread from where it first started to other places in the body or it cannot be removed by surgery. This study compares the effect of pembrolizumab plus doxorubicin to doxorubicin alone in treating patients. Doxorubicin damages the cell's DNA and may kill tumor cells. Doxorubicin also blocks a certain enzyme needed for cell division and DNA repair. A monoclonal antibody is a type of protein that can bind to certain targets in the body, such as molecules that cause the body to make an immune response (antigens). Immunotherapy with monoclonal antibodies, such as pembrolizumab, may help the body's immune system attach the cancer and may interfere with the ability of tumor cells to grow and spread. Adding pembrolizumab to the standard chemotherapy, doxorubicin, may help patients with UPS or a related poorly differentiated sarcoma live longer without having disease progression. The duration of the study will be about 12 years, with 6 months of active treatment for those receiving doxorubicin alone and 2 years active treatment for those receiving doxorubicin and pembrolizumab. Each participant will be in follow up for 10 years. Some of the main side effects are nausea, vomiting, low blood count, fatigue and mild diarrhea.