The most common anal analgesic lubricant for sexual intercourse is
Analease (which I believe can also be used in the vagina). It is commonly sold at stores that sell sex toys, because many are (or can be) used in the anus.
I don't recommend analgesic lubricants for the simple fact that it's easier to injure yourself if you can barely feel pain. It's pretty rare but it happens more often with analgesics -- some people do 'too much, too soon' without realising it. It also doens't add a whole lot to the experience if you catch my drift.
If you don't know any analgesic lubricants, the obvious answer is to switch lubricants to something that works better. KY is crap for anal play (pun intended), a much better suggestion is
Astroglide or
4Play.
Eros is pretty common, but it's silicon-based and I personally don't recommend it because it's hell to get it out of sheets.
But if you don't know the answer, telling what you do know is fine -- which you did by reccomending KY. As a straight (vanilla?) guy, KY is about the extent of your knowledge of anal lubricants and I can totally respect that.
Just don't let weird questions get you too flustered. Much like buying condoms from the 90-year-old pharmacist, it's one of those things that will always happen. Just roll with it.