The little plush bunny Annie carries around is actually her Remote Parasite named Sagan. Her right eye is bonded to it and is visible within the rabbit-creature's mouth. Sagan grants Annie galactic powers, which is how she channels the power of the stars through her meteoric sword. Although, as cool as all that sounds, it's also why her attacks are of the sparkly, rainbow, magic-girl type. Nevertheless, Annie tries to pull them off with the seriousness that battle demands.
Annie never appears "in person" in Skullgirls, but you can see images of her in several story scenes and in backgrounds. There is a billboard of Annie outside the window of the Medici penthouse level. There is also memorabilia of her at the end of Double's story mode, seen in Aeon's clutter-filled home.
Thanks to Lab Zero's more than successful Indiegogo campaign, along with 3 other new DLC characters, 2 fan voted DLC characters will also be created. Annie is one of the 32 characters fans can vote on. She has so far made it through the first 3 rounds of voting.