Someone on eBay is selling what they list as "Annie Oakley in front of her tent 1893 World's Fair". Then in the description, they say the 'picture was taken around 1885-1886'. There is a 'buy it now' price of $9.99. It is not an original photo (it does say that in the description).
Well, the Chicago 1893 World's Fair was not going on until 1893. I don't think it was even being thought of in 1885/1886.
Buffalo Bill's Wild West Show, which included Annie Oakley, was not allowed to be part of the Fair. They put up their show outside of the fair on its own.