Hola Anahi,
This names is of Guaraní origin and it means "Flower of the sky". The Guaraní culture inhabited the South Brazil, Paraguay and North East Argentina in the Pre-Columbine period.
According to the following link, she was a Brazilian/Gauaraní princess
http://www.laguna.com.br/cruzalta/ca10.htm#ANAHÕ
Don't know if you speak portuguese, so basically what it says is that Anahi was a Guaraní princess who wasn't beautiful but instead she had a great voice and sang beautifully, imitating a Curruíra (bird).
One day Spaniard's armies came to her village and so she fought them along with the Guaraní people. She was caught prisoner and burned . The next day when the Spaniards went back to the place where they had executed their prisoners, the found a tree, covered in Vermelha flowers and tears of blood. According to this legend, the spirit of Anahí lives in avery Vermelha flower.
Hope this helps,
Magia