The onset of turbulence in subcritical shear flows is one of the most puzzling manifestations of critical phenomena in fluid dynamics. The present study focuses on the Couette flow inside an infinitely long annular geometry where the inner rod moves with constant velocity and entrains fluid, by means of direct numerical simulation. Although for a radius ratio close to unity the system is similar to plane Couette flow, a qualitatively novel regime is identified for small radius ratio, featuring no oblique bands. An analysis of finite-size effects is carried out based on an artificial increase of the perimeter. Statistics of the turbulent fraction and of the laminar gap distributions are shown both with and without such confinement effects. For the wider domains, they display a cross-over from exponential to algebraic scaling. The data suggest that the onset of the original regime is consistent with the dynamics of one-dimensional directed percolation at onset, yet with additional frustration due to azimuthal confinement effects.