The original Little Orphan Annie strip debuted in 1924, written by 30-year-old Harold Gray. He was born in Kankakee ["Manteno! Peotone! Chicago Heights!"*] and raised in the Midwest; worked in Chicago in adulthood. The interesting thing about his cultural context was that the foreign-born Irish population peaked in 1900, when he was a kid. Which means that would have also have been the peak of anti-Irish-immigrant sentiment in that area.
Originally this was expressed as White racism against the Irish, though they were quickly made White (as @rsample57 put it). This was partly in order to keep them from forming an alliance with Black USians. The divide-and-conquer of the poor has a long history within this country and without.
So what I'm leading up to here is that Gray would have been deeply familiar with the anti-Irish racism of the time. Gray's use of a red-haired protagonist wasn't coincidental, though I can't tell you if it was conscious or not. Either way, it was firmly rooted in some level of recognition of that particular oppression. That's why Annie was the underdog to root for. Now, he could have used a Black protagonist to possibly an even greater effect, but I doubt a White male cartoonist of 1924 would have.
However, having Little Orphan Annie be Black in 2014 is VERY close to what Gray was doing with a White redhead in 1924. It was not a matter of aesthetics or whimsy. It was a social commentary. Having Annie be Black today is completely historically appropriate.
(*And yes, you did get internet points for guessing where I spent at least some of my growing-up years!)