Susan Stewart wrote in her article "The Ballad in Wuthering Heights" (Representations 86, Spring 2004, University of California Press, p. 191):

The third, remaining ballad mentioned by name ["Fairy Annie's Wedding"] does not seem to exist in any known text. [...] The title of Nelly's ballad does in fact evoke two specific allusions: one is to the Queen of the Fairies, in Ireland Ana or Anne, and the other is to the ballad "Fair Annie," which does recount a wedding.