Cat Steven''s'' / Cat Steven

Steven was his original first name. He decided to use it as the surname for his stage name of Cat Stevens. Stevens is a common surname, Steven is not. So he changed the spelling to make it a more natural surname.

Neither Anna nor Annas is a common surname in English so if you wanted to use one as a surname, just take your pick.

There isn't a convention of adding S to your first name if you wish to use it as a surname -there aren't any rules at all covering this situation as it is a highly unusual thing to do anyway. How many people do you think do this?

Cat - I'm guessing (because of the era) it's because of the use of cat as 60s slang for 'cool person'. It no longer has that meaning.

These days, Cat can be short for the female names of Catherine, Kate and so on. It's pretty unusual.

Anyway, he's not called Cat Stevens any more. He is now called Yusuf Islam.

If you say "You're a cool cat" to a male, you will sound like you are trying to imitate slang from several decades ago. I advise against calling anyone "Cat" unless the person's name is Catherine/Katherine/Kate, etc., as Nona has said, and who said "But my friends call me Cat."