Annie knew from the start that she wanted her baby to be a girl. She knew that she couldn't handle it if she had a little Finnick running around. He'd remind her too much of her deceased lover, and the memories would just be too much.
The more she thought about it, though, if she were to have a boy, he could grow up to be just like his father. He could be a fisherman, and, when he was old enough, he could take Annie on his boat with him, just like Finnick used to. It wouldn't be that bad to have a baby boy, she decided. If she could love him just as much as she loves Finnick, she'd be able to overcome the memories, and she could even make new ones. She wouldn't have to be afraid and alone anymore because she would have someone to fill the void in her life, even if her love for a son would be a different kind of love than what she had for Finnick.
Either way, boy or girl, fisherman or not, that baby would be the love of her life. Well, the second love of her life.