一个简单的解决方案，如果一个圆是好的，是在箭头的位置添加一个分散点（我没有安装LaTex）：

import numpy as np
import scipy.io
from matplotlib import pyplot as plt

plt.figure(figsize=[3.3, 3.3], dpi=100)
plt.rcParams.update({'font.size': 8, 'text.usetex': False})

plt.plot([1, 2, 3, 4], [1, 4, 9, 16], color='r')
plt.plot([1, 2, 3, 4], [2, 5, 10, 17], color='r')
plt.plot([1, 2, 3, 4], [11, 14, 19, 26], color='b')
plt.plot([1, 2, 3, 4], [12, 15, 20, 27], color='b')

plt.annotate('blue curves', xy=(1.5, 22.5), xytext=(1.5, 22.5), ha='center', va='center')
plt.annotate('', xy=(2, 15), xytext=(1.5, 22), arrowprops=dict(width=0.1, headwidth=2, headlength=2, color='grey'))
plt.annotate('red curves', xy=(2.5, 22.5), xytext=(2.5, 22.5), ha='center', va='center')
plt.annotate('', xy=(3, 10), xytext=(2.5, 22), arrowprops=dict(width=0.1, headwidth=2, headlength=2, color='grey'))

plt.plot(2, 15, 'o', ms=10 * 2, mec='grey', mfc='none', mew=1.5)
plt.plot(3, 10, 'o', ms=10 * 2, mec='grey', mfc='none', mew=1.5)

plt.grid()
plt.xlabel('x')
plt.ylabel('y')

plt.savefig('filename.pdf', format='pdf')

plt.show()

虽然你可以在你的plt-对象上调用plot和annotate，但你需要访问figure和axis。这里给出了一个很好的解释图，图和轴之间的区别。
您需要添加的代码（在plt.show()之前）：

from matplotlib.patches import Ellipse

fig = plt.gcf()  # access the current figure
ax = plt.gca()   # access the current axis
xmin, xmax = ax.get_xlim()  # get the minimum and maximum extent of the x-axis
ymin, ymax = ax.get_ylim()  # get the minimum and maximum extent of the y-axis
aspect_ratio = fig.get_figheight() / fig.get_figwidth()  # get aspect ratio, we will use it to scale the width and height of the ellipse to appear as a circle
ax.add_patch(Ellipse(xy=(2, 15), width=(xmax-xmin)*aspect_ratio/5, height=(ymax-ymin)/5, color="grey", fill=False, lw=2))
ax.add_patch(Ellipse(xy=(3, 10), width=(xmax-xmin)*aspect_ratio/5, height=(ymax-ymin)/5, color="grey", fill=False, lw=2))