@sciaccamar suggest asking the firm what the cost basis is in the annuity. if it has not changed, then all the payments you received are taxable. if the cost basis has changed, you have an argument.
It might be worth posting the details of your annuity as it is hard to either support your contention or refute it without that. There are a number of examples of how this works in Pub 939 - did you read them?
Personally, companies have lawyers and compliance experts that ensure these are contracts are reported correctly and adhere to law. Do you have that level of expertise to make a different decision? Since the IRS has a copy of that 1099-R already (as it is reported by the firm), if you tax return varies from that reporting, it risks an audit and / or withholding of any refund. Best to discuss with the firm rather than just making your own decision.
