Basically, as part of the Squigly funding drive, characters that Alex Ahad designed for future Skullgirls games are being shown off a little early. If the funding hits $600,000 all these shown-off characters become part of a poll to get selected as the thrid DLC character after Squigly and Big Band.
So yeah, this is Annie. Like Filia and Squigly, she also has a Parasite. Unlike them, however, her Parasite is not attached to her body, but takes the form of a stuffed rabbit. And yes, that is her right eye in its mouth. She's kind of a parody of the Magical Girl genre.