Congratulations! I wish both of you blessing during your years together.
You most likely do not need an annulment. (I think) The Jehovah’s Witnesses Baptism is not recognised as valid in the CC, so it won’t be an issue. The actual issue is the sacramentality of the marraige which requires valid baptisms, from the CC point of view.
I hope you guys know what you’re getting into, theologically speaking. The Jehovah’s Witnesses are probably the religion that have seperated the most from Catholicism, rejecting most, if not all of the CC’s Traditions. Also, the CC requires that children in a marraige such as your own are to be raised Catholic. These are issues you should discuss before marraige. They should be discussed between yourselves and then with a priest and your elders. If you can come to a true and real understanding of these issues, then God has truly blessed your marraige.
Again, I am very happy for you.
Subrosa