Well, I think the line between friendship and love is getting blurry here, You might say you would say no if she'd offer sex, but I think that's a bit of denial. My ex and his sister were VERY close, they shared all discussion topics you mentioned, they had no secrets, and when it came to talking they were every bit as close as me and my ex then.. but they never snuggled like that. They hugged when one of them felt down (mostly my ex's sister), but they didn't just snuggle up close or cuddle or ending up putting one of their heads in the other's lap. That suggests a want to be more physically close than platonic relationships have. So I think, there's denial here. One, if not both of you want to be closer, even if you two don't realize it yet. Or, possibly, you're just seeking to be closer to someone when you can't be with your gf. This is dangerous. Trust me, I know. Physical closeness is like a drug, when you cna't have it one way, you'll seek another. It's not fair to Anne, if she doesn't really know what's it all about, and trust me, you'd have to be really clear to her about what you want or not, because she could end up feeling more for you than she wants, knowing you have a gf.
But I think the closeness you seek is more related to gf/bf than siblings.. the person who said she has a brother she is physically closer with than I'd be comfy with, is that brother much younger? My brother's 2,5 years younger and we never as much as hug. Or even touch, much. Eek.