If you kiss Annah, Grace's morale will decrease, so she will be less likely to show feelings for the Nameless One. But in the end, it's possible for both of them to have feelings for him if you tread carefully. (You'll get to see some special scenes near the end of the game which are, in my opinion, heart-wrenching in their own way.) The Nameless One won't get to marry either of them, but it's always nice to be loved.
