The wing-back, 25, is in Scotland's squad for the first time ahead of Friday's home clash against Belgium and next Tuesday's trip to Macedonia.
Born in Glasgow, Anya has waited a long time for the recognition having enjoyed spells with Wycombe, Northampton, Sevilla Atletico, Celta Vigo and Granada before switching to Watford last summer, initially on a season-long loan before completing a permanent move.
He admits he was taken aback by the international call but will return to Vicarage Road a better player.
"Never in my wildest dreams, but I think that it's just one of those things. If you work hard and you get a bit of luck there's no telling what people can achieve," Anya told the club's official website.
"I just look at everything as a bonus now, if I can manage to get some minutes, fine. It's just nice of them to consider me, so I'll do what I can do in training. I won't change; if they like it they like it, if they don't then obviously I need to improve further.
"I'll come back as a better player, I'm moving on to that next level and hopefully Watford can reap the benefits of that as well."