Footage filmed from a building opposite - which NationalWorld has seen but is not publishing - appears to show an investigator removing a bloodstained white sheet from the woman's body, which is partially shielded by a wall.
Anna, who was popular in Brazil, had reportedly gone to the hotel to film a threesome scene with two men, according to local media reports.
Her boyfriend, Pedro Henrique, has reportedly said: "All the information about the case is already in the hands of the police and they are investigating. If someone is to blame, they will pay and the culprit will be found."
It is currently unclear if she fell accidentally or if her death was the result of a criminal deed. The two men who were with her in the hotel reportedly gave conflicting accounts of what happened but were released by the police after being questioned.