Yeah, you are right. I mixed that up.
Control-Option-Command-O only works, if an annotation file already exists.
Control-Command-L was the other shortcut I occasionally used to create a new annotation file, with a reference to the current page.
Maybe I could use Keyboard Maestro in combination with an Apple Script to select a specific annotation template (in my case an empty markdown file)? Do you - by any chance - have one in your Apple Script quiver?