That is Annie Cresta from District 4, where Finnick is also from. She was the winner of the 70th Hunger Games. Finnick, as the District 4 winner from the 65th Hunger Games, became a mentored for other District 4 tributes, specifically Annie, and that's how they fell in love.
During Catching Fire, when the special Quarter Quell placed the previous winners in the Reaping, Annie was picked as the District 4 female tribute. Luckily, Annie's other mentor (who also mentored Finnick) was Mags, the female tribute who won the 11th Hunger Games. Mags basically raised Finnick, and volunteered as tribute to save Annie for both Annie's and Finnick's sake. Much like how Katniss volunteered for Primrose and Peeta for Haymitch.
In Mockingjay Part 1, Finnick points out that Annie was arrested by the Capitol just to blackmail/extort Finnick. Even before the 2nd Rebellion started, President Snow had threatened Finnick with killing Annie if Finnick didn't do what Snow wanted. And that ended up being a sex slave to anyone that would pay Snow for Finnick. Literal child prostitution. The other tribute, who you confused Annie for, Johanna Mason from District 7, had her whole family killed by President Snow when she wouldn't be a sex slave. Since Snow couldn't just kill her after that, she was left alone until the Quarter Quell. Finnick had rather been a slave than see Annie or Mags killed. Much like how Snow was forcing Katniss to be with Peeta after the 74th Hunger Games. Finnick ended up using his position to gather secrets about Snow and the Capitol.
At the end of Mockingjay Part 1 Annie, the redhead, is (allowed to be) rescued by District 13's commandos who went in to rescue Peeta and the other captured tributes. Finnick and Annie are reunited back at District 13's medical unit. Where Peeta attempts to choke Katniss to death. Johanna is also rescued. She's the bald one in the hospital bed.
Seeing the two Catching Fire images next to each other, it is easy to understand why you'd confuse them. Annie and Johanna do share a small resemblance.