This should have the following format:
#CHR FROM TO Annotation
5 53719508 53936990 ENSGALG00000011590; gene_name=TMEM179; gene_type=KNOWN_protein_coding
5 54024011 54038102 ENSGALG00000011608; gene_name=INF2; gene_type=KNOWN_BY_PROJECTION_protein_coding
5 54073641 54096083 ENSGALG00000011618; gene_name=ADSSL1; gene_type=KNOWN_protein_coding
I got this file from editing a GFF file for the region of interest. This file then needs to be zipped with bgzip and indexed with tabix. You will need a different annotation file for each feature if you edit a gff as otherwise they will not appear in order in the file.
tabix -p gff annotate.gff.gz
The the annotations can be added to the file.
cat input.vcf.gz | vcf-annotate -a annotate.gff.gz -d key=INFO,ID=ANN,Number=1,Type=Integer,Description='My custom annotation' -c CHROM,FROM,TO,INFO/ANN > out.vcf
Once the file is annotated you can use grep to pull out the lines with the required annotation.