I would tend to think that an annuity purchased in the UK would be a safer investment than one purchased in Thailand.

And, should you retire here on a "retirement visa" (thought it is an extension of stay not really a visa), it would help demonstrate that you (not your wife) is receiving income from overseas and would help substantiate your eligibility for the extension of stay. You would need to check though if half of that income would or would not be counted toward the income you must demonstrate. Such an annuity could easily be held jointly so that, in the event of your passing, the income would pass directly to her.

Though I know you asked about doing it here - buying such investments in any country in which you are not familiar with the laws, reserve requirements, reporting requirements, etc - may not be the best of ideas. But . . . just my opinion.