Halo - no (I read it as hello in a German accent instead of the usual way for some reason!)
Annie - yes. I prefer Anna.
What attracted you to the name Halo? It’s not awful but it doesn’t go with Annie. If you really like Halo then I think a different middle name would be better. Maybe a name that starts with a consonant? Halo Constance, Halo Jane, Halo Nadine, idk…
or name the baby Annie Halo?