The lyric is simply 'Annie are you OK?'. But take heart in the fact that you're not alone in mis-hearing this. According to kissthisguy.com (a site dedicated to misheard lyrics), others have mistook it for 'Annie is your dad gay?'.
You're definately not alone - but then thats M Jacksons style. Like instead of saying 'come on', he sings it as 'chow mon'. Smooth Criminal is about someone breaking into Annie's appartment and attacking her, look at google and you'll be able to see all the lyrics somewhere.