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If you think about the French pronunciation of Agnes, you'll see that the -gn- combination sounds like -ny- rather than -ng-. People who were illiterate in all languages or just didn't know much French would have heard Agnes used for the first time in Britain after the Norman conquest, and would have spelt it as they heard it. Presumably therefore the spread of more or less universal schooling in the 19th century would have resulted in (a) people starting to use a spelling pronunciation but with English spelling, resulting in ag-nes, or (b) using Annes/Annis/Annest etc anyway because it had become part of their name stock. Pretty much like using Sian although Jane is also available ...

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Without checking Welsh records, I can't be more precise; but my guess would be that until the 19th century at least it would have been usual to encounter Annes/Annis/Annest in Wales; after that it would be a matter of choice.