1899 British Pennie A, Oakley

Ha! It is a bullet hole, very nice and much better than a loop hole

Well you have to understand, that the auction house saying it was possibly from the stated competition. With out supporting paperwork is just wishful thinking on the auction houses part. Since she spent a while in England, it could be from any of the matches and shows.
And yes they can bring that much or more if you have more than one bidder in a battle over them! That is why it is a good idea not to put both up at the same time. As it tends to lower the price.
As to value, undamaged rare coins go for much more. That would be considered more of a collectible object rather than a coin.

As to value - go to heritage auctions and look through the sold Annie Oakley items. You will find high prices paid as she was a favorite from the old west.
http://historical.ha.com/c/search-r...annie+oakley

And yes, Little Sure Shot used a shotgun (sold for quarter of a million!) But you have to remember a rifle can carry a couple miles and a shotgun in her day would not be worth much past 75-100 yards. When you have shooting shows in large cities, anyone who knows anything about guns would not use a rifle for shooting tricks b/c of the potential of killing people - a mile away in town and not even at the show - with stray bullets. Yes, Hollywood has made people believe a lot of falsehoods about the Old West and the people who are "legends," but Annie was a genuine amazing shot.

Personally, If I had that cent, it would become a family heirloom and a treasured possession. There is a wide range of hobbies for which this would be a very desirable item.