I love Annika Fay. It sounds really nice!

But yeah, AFL might not be that good. Have you thought about changing "Fay" slightly to avoid the AFL initials? E.g. May sounds nice, too. Annika May...Could work, as long as your last name is not actually spellt "Lock", otherwise it would be... may lock (or may not!)

I really like Annika, though. Good job picking that one!

My cousin's name is Annika, too. It is very unique in Australia, but well known (and loved) in Germany. So I had a look at some German Baby naming sites to get some more ideas for you. This is what I came up with:

Annika Lucia (pronounced Lou-tsee-a)
Annika Sophie (pronounced Zoh-fee)
Annika Marie (pronounced Mar-ree)
Annika Julia (pronounced Yu-lee-a)
Annika Marina (pronounced Mar-ree-na)
Annika Malin (pronounced Mar-Lynn)
Annika Selina (pronounced Se-lee-na)
Annika Sarah (pronounced Za-ra) actually, Zara looks nice, too
Annika Madita (pronounced Mar-dee-ta)

Some of those could be pronounced English, too, but I think this way is more unique.
I still prefer Annika Fay somehow... But AFL?!? Oh, well, you just gotta change your last name!

Good Luck!