Depends on the kind of leather. You can try saddle soap but I would search the net.
I've tried it and failed. Used vinegar, the sun, baking soda, everything I could think of and no way.
Have it dry cleaned by one that works with leather first. Not all do leather.
Or you can try putting baking soda in thin cloth pouches and put them inside your purse and close it up for at least 6 days maybe a few days longer. When you check on it if the smell is less then you may want to put new fresh pouches in and toss the old. Keep checking on you purse tho about every 3 to 4 days on the smell to make sure if it's working. Some of the leather will and some wont!
Wipe with vinegar and water mixture. Hang outside to air out and leave newspaper inside to absorb odor. Scrunch a bunch of it up and leave for several days.
It may depend on the actual purse and construction.
The 100% thick older leather classic Coach handbags will tolorate a lot, such as complete immersion soak in water. But not all purses can tolerate this.
Lysol wipes -lysol spray-perhaps charcoal briquettes....might be an alternative.
I have had problems in my garage with humidity-moisture —-> mold collectioning on leather items like gloves, shoes and vintage suitcases these methods have worked on these leather impacted area. Im not sure how delicate your purse is.
Getting Musty Smell Out of Leather