As revealed in Chapter 95,
Annie, Bertolt and Reiner are Marleyan soldiers sent to infiltrate the Paradis island to locate and recover the Founding Titan.
Why, then, would Annie accept Armin's request?
Remember, they need to complete their objective before returning to Marley. As someone in undercover, she needs to avoid raising suspicion.
In Chapter 31, Armin tells Annie that if she does not accept his request,
that would make her a 'bad person' to Armin. Now, that might seem like a lame way to convince someone to help you. But, Armin is a tactician. And Annie probably realizes how intelligent Armin is. If you read that chapter, you'll notice the look that she gives her after he said that, which implies she knows there is a possibility she is being suspected. It makes sense that she would go despite the possibility of a trap because of her objective of securing the Founding Titan, which requires that her cover remains intact. Refusing would raise suspicion and her cover will be blown so she took the chance. If you'll also notice, when she found out they were going underground, she was surprised, which means she was not expecting that they'd go this far to know if Armin's suspicion was right or wrong. Furthermore, she also said that 'she did not imagine that Armin would corner her like this.'