I believe strongly that it's far better to be honest about yourself right up front than to go through life worrying about getting "caught", but I've been out so long I can barely remember ever being in! I'm also not the one who has to live with the consequences of coming out, whether voluntarily or involuntarily. You two are the only ones who can judge whether that's a viable option for you. You do need to talk it out together, however. Keeping secrets is not good for a relationship.
If Anna's already been/being harassed on suspicion of being gay, being outed may not really make that huge a difference. In some ways, it may make things easier, since it's often simpler to deal with people when everyone's using the same version of reality.
Also, once the cat's out of the bag and you're out of the closet, you can enlist other forces you might be reluctant to approach now, such as a teacher, counselor, or administrator. Schools have an obligation to protect their students from harassment, and several districts that failed to do so ended up paying substantial damages when sued. Document any contacts so you can prove, if necessary, what harassment occurred, that it was reported to school officials, and their response.
It's difficult to gauge how receptive school staff may be without knowing where you're located (and no, don't volunteeer that information on a public board, or keep it very general - state, not town). Lambda Legal and the ACLU are both good resources, and the Gay-Straight Alliance Network is all about this sort of thing.
Lambda Legal's Youth & Schools PageACLU LGBT Youth & Schools PageGay-Straight AlliancedAnd by all means be prepared to fight back against J by letting everyone know that he tried to blackmail you because he couldn't get a girl any other way. The success of this tactic may depend on your own position at school and how well you can carry off the attitude it requires. By making it clear to J that this is the likely conclusion people will draw when his role gets out - and that you'll make sure it does - you may be able to cut him off at the knees before he starts something he's not prepared to finish. People like that aren't usually noted for their ability to think through the consequences of their actions, and he may not have realized this interpretation was not only possible but probable.
Good luck!
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I don't care if it is an orgy of death, there's still such a thing as a napkin! - Willow in "Superstar"