Do you have a particular reason to doubt the Anjezë - Agnese connection? The Internet is full of pages that give the info that Anjezë is a loan of the Italian name Agnese into Albanian in one way or the other.
Agreed, sometimes there are a lot of pages stating something for the sole reason that they all copied from each other, without anyone really holding hard facts, but I think this is not one of those cases.
The info can also be found in books, like this one:
http://books.google.ch/books?id=tJESAgAAQBAJ&q=Anjez%C3%AB#v=snippet&q=Anjez%C3%AB&f=false