Annie first appeared (as Annie Lane) in A Desperately Needed Happy Ending to "Darius," an unofficial epilogue to The Angst Guy's Darius. She later appears—in visual form, albeit unnamed—in an April Fools video in 2006, and in a flashback in Inauguration.
Behind the Scenes
The two Daria-Jane kids were originally created as part of a backstory for a semi-defunct fanfic project, and were subsequently reused by the author in other, unrelated works—for the sake of convenience, and as an in-joke. Annie's name was, originally "Gally" (short for "Galatea." Which, in the context of the original story, was not especially unusual). She was renamed after one of Daria's fanon middle names, "Anne."