Thttp://
www.crsrv.org/pdf/collana_degli_atti/Conti_Gorizia_Peter_Stih.pdf (it is in Italian, sorry) There is this dissertation on the history of the counts of Gorizia which is pretty interesting, although it doesn't deal too much with the end of the dynasty: the Habsburg had been slowly but steadily gobbling up the territories of the counts of Gorizia, and well before the death of Leonardo it was clear that they would have taken his last territories too. As far as Anna is concerned, there are no tidbits I was able to find; however in the genealogy of the house Anna appears to have married just Brunoro. There is no real reason for which Brunoro and Anna could not have children other than the fact that Brunoro was not a spring chicken when he married and the long years of exile would have taken a toll (also the fact that Anna never remarried might be an indication that she was not well suited for married life): OTOH Mainardo IV had two sons from Catarina of the house of Bayern at a late age (which was lucky but once again meant a long and difficult regency), so who really knows? Paola Gonzaga, Leonardo's only wife, was married to Leonardo in 1477 when she was 13 years old; for a number of reasons the marriage was only consummated a couple of years later. Paola was all her life a sick woman, apparently tormented by heart problems. It was not a good choice for Leonardo: the Gonzaga were a rich and powerful family (much more than the counts of Gorizia, which had weakened substantially in the 15th century) but due to the health problems of the bride no heir was produced (a daughter was born but died in infancy). I do wonder why Leonardo waited so long to marry, given the obvious succession problem. His father Enrico IV sired 10 children, 5 daughters on his first wife and 2 daughters and a 3 sons on the second one, Caterina Garay. Out of the sons only Leonardo survived infancy: if one (or both) of his brothers survive too, it might secure the succession (Leonardo was the youngest, and would not become count), but I doubt that the fortunes of the house of Gorizia might be revived at this late date (Gorizia's possessions are squeezed between Venice and the Habsburgs, with the Ottomans close to the border too).
Here's a link for Paola Gonzaga (in Italian again):
http://www.treccani.it/enciclopedia/paola-gonzaga_(Dizionario-Biografico)/
The history of the house of Gorizia is fascinating (and bloody complicated too, since the house split in different branches but the names are always the same). If one had the time and the will, it could be possible to write a TL where the counts of Gorizia become lords of all of north-east Italy, including Trentino and Tyrol, from Padua to Istria and they can give a run to the Habsburg for their money. The peak of their power was in the first third of the 14th century, and was cut short by the sudden death of Enrico II (1335 IIRC) who left two infant sons and a long and difficult regency just after taking Treviso and Padua. If Enrico survives long enough, he might be able to consolidate his acquisitions; there might be a three-way game starring the Visconti in Milan, the Della Scala in Verona and the counts of Gorizia (plus Venice, who is still not engaged on Terrafirma but cannot be happy with the consolidation of a state which controls Padua, Treviso, the Friuli and threatens the critical Venetian possessions in Istria).