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The orientational order in a nematic liquid crystal sample confined to an annular region between two concentric cylinders is investigated by means of lattice Monte Carlo simulations. Strong anchoring and homeotropic orientations, parallel to the radial direction, are implemented at the confining surfaces. The elastic anisotropy is taken into account in the bulk interactions by using the pair potential introduced by Gruhn and Hess [T. Gruhn and S. Hess, Z. Naturforsch. A 51, 1 (1996)] and parametrized by Romano and Luckhurst [S. Romano, Int. J. Mod. Phys. B 12, 2305 (1998); Phys. Lett. A 302, 203 (2002); G. R. Luckhurst and S. Romano, Liq. Cryst. 26, 871 (1999)], i.e., the so-called GHRL potential. In the case of equal elastic constants, a small but appreciable deformation along the cylinder axis direction is observed, whereas when the values of K11/K33 if K22=K33 are low enough, all the spins in the bulk follow the orientation imposed by the surfaces. For larger values of K11/K33, spontaneous deformations, perpendicular to the polar plane, increase significantly. Our findings indicate that the onset of these deformations also depends on the ratio K22/K33 and on the radius of the cylindrical surfaces. Although expected from the elastic theory, no tangential component of the deformations was observed in the simulations for the set of parameters analyzed. [ABSTRACT FROM AUTHOR]