The Ghanaian was a second half substitute in the first leg won by the European champions 2-0.
Fuenlabrada have gone five games without a defeat in the Segunda B Division since then, and currently top the log with 37 points.
"It's a game of football and anything can happen there on Tuesday night. We're not going there to disgrace ourselves but rather to show our class just as we've been doing in the Segunda B," Annor told Goal.
"We want to defeat them in the second leg and if possible, overturn the scoreline to make it to the next stage of the competition. There were few senior team players in the first leg but even if Zinedine Zidane fields the likes of Ronaldo and Benzema, we'll still compete and hope for an upset.
"We monitored how they struggled to defeat Malaga at home on Sunday and have picked our lessons from it. We will try not to repeat such mistakes so that we can be in the game from start to finish," he said.
He added: "I want to find the back of net also and then get to speak to the big boys if any will be around. Ronaldo is actually my target so I'm looking forward to a wonderful game and reception."