Yes it is possible. thermal annealing at higher temperature makes the crystal structure perfect by eliminating the surface water molecules and also there is a decrease in grain size. Thus the distance crystal spacing also differs which in turn have an effect on the absorbency of the metal oxide.
Please refer to the study of this paper and you may get it more clearly. You will find under the UV absorbency study though the bandgap is not reported but the reason is similar.
In case of thin films you should never use absorbance. Thin films are prone to interference effects that need to be corrected before you can seriously interpret the spectra. See e.g.
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