Annotations ? Any other apps apart from

There are two color controls on the Preview markup toolbar.

The left is foreground color, and the right is background color. Both have a transparency setting. Annotations in Preview can overlay one another but combinations of annotations cannot be grouped and moved in unison. You can overlay a text box with a circular shape whose background has been set to transparent:

PDF Readers and editors should/will not introduce a custom annotation that is not supported by Adobe in Acrobat Reader. You can construct a circular speech bubble from available drawing tools within the given PDF reader available to you, though it may display differently in other PDF readers.