Anna's the sister of Minnie, one of Holmes' wives. She's pretty suspicious that their relationship moves so quickly, so Holmes invites her to spend the summer in Chicago in order to allay suspicions that he has somehow swindled Minnie out of her inheritance (which he totally has).
Anna enjoys the fair with Holmes and decides he's not such a bad guy after all. She accepts his offer to take her on a private tour of his hotel…but we all can guess how this one ends. Holmes asks Anna to retrieve a document from his airtight vault and locks it shut behind her. At first Anna thinks it's a mistake and screams for help. But the air becomes thinner and she soon realizes it's the end for her.