If she did wear a wig, it would've undoubtably been in the Season 3, when she was still dealing with the fall out of her cancer ordeal:
https://m.media-amazon.com/images/M/MV5BZjM4YzYxODQtMmI3Yy00YWEwLTk2YzctYjJhMzljZDUyMTY1XkEyXkFqcGdeQXVyMDU5NDcxNw@@._V1_.jpg

Ann claims that she wore a blonde wig (https://cdnc.ucr.edu/?a=d&d=DS19831007.2.103&e=-------en--20--1--txt-txIN--------1) when she auditioned for her role in Mr. Mom (https://www.closerweekly.com/posts/ann-jillian-talks-incredible-journey-with-husband-andy-murcia/).

If she did, that was a very good, realistic looking wig. It doesn't look that different from her S1 hairstyle.