annûn is the Sindarin word for "sunset", and thus used as "West".
Annûn has a peculiar spelling because it is spelled with a circumflex, which Tolkien used in monosyllables of Sindarin. An explanation is that annûn was only a variant of dûn.
The evolution was parallel of that of dûn, only that it came from OS *andûne. The PQ ndûnê (root NDÛ) evolved a "syllabic nasal" *ṇdûnê which further evolved in the full vowel *a-.
 See also
- ↑ J.R.R. Tolkien, Christopher Tolkien (ed.), The Silmarillion, "Appendix: Elements in Quenya and Sindarin Names", andúnë
- ↑ David Salo's message at Elfling mailing list