Can I submit the anonymous referee report from a previous submission to another journal together with my manuscript?
Could I send this report, together with the manuscript, to another journal?


This is a confusing wording: the first two times I read it, I thought you meant you were submitting the referee report for consideration of publication!  But I think I understand what you mean now: I'm guessing (though please confirm) that the referee said some good things and in particular regarded, either implicitly or explicitly, the result as being correct, but just not good enough for publication in Annals (as are at least 99.9% of mathematical results), and you would like the positive aspects of the referee report to follow you to your next submission.

If all of the above is right, the answer is that you cannot do this directly: it is simply not the part of the established protocol for paper submission.  And there are good reasons for this.  On the one hand, how does the next editor know that you did not fabricate the report or modify it in some way?  On the other hand, referee reports are never anonymous to the editors, so "submitting an anonymous referee report" undercuts most of its value.  However the next journal could contact the Annals and get the report officially and the identity of the referee.  Which brings me to what you should do: if you want a referee report from Journal A to be carried over to Journal B, you should write to the editors at both journals and request this to happen.  This definitely happens sometimes, although in my experience it is most commonly initiated by someone other than the author.