I've been dipping in and out of this, interested to see each new find. What actually happened remains inconclusive, but there are multiple scenarios one can speculate about. At this point, in the absence of having found any marriages in the permutation of surnames arising thus far, I'm inclined to think that Annie didn't marry anyone.
Because of John James' 1888 civil birth registration and the church record of his 1915 marriage, I'm inclined to think that Annie was born a McKinstry. But as to what ensued, I think one can't rule out some measure of fabrication on her part. On face value, she may have had relationships with a John/James McKinley, with a James McKee and a James McCabe, producing three children out of wedlock from one or more of those relationships. In another scenario, John/James McKinley and Annie's use of that surname may be a fabrication for her births from 1886-1891, a cover story for her relationship with McKee or McCabe, names which endure down the line (which McKinley doesn't). In another scenario, James McKee may be one and the same person as James McCabe. This has proven to be a VERY interesting topic and Annie is something of an enigma.