[Plaster] tells me that the original title of the diary of Anne Frank was "The Annexe", named after the house in which she lived, "The Secret Annexe" - see [1]. He also mentions that The Annex is a neighbourhood in Toronto, Canada - see [2].
In Carnival Slang, An Annex refers to "The area of a sideshow joint where the blowoff is located." [3]