Can I have a flue in an annex?

An annex is considered to be a living area.
A flue cannot, under any circumstances, terminate inside a vehicle or caravan, nor inside an annex.
At least 2 sides of any covered area must be open. See Clause 8.4.2 and Appendix K.
Also note flue terminals must be placed so that they minimize any ingress of combustion products into the living space. See Clause 2.8.6.
In basic terms, all flues must vent to an outside area.