I asked my advisor this exact same question a couple years ago. He said that there's no sense of anyonic statistics in momentum space (or in any basis other than real space).
The reason for this is that anyons typically emerge from a microscopic Hamiltonian that is spatially local, and so strictly speaking, anyons are only well-defined when they stay far away from each other in space. If you bring two anyons close together (i.e. on the order of the correlation length or less), then they begin to lose their identity as individual particles (as is always the case in quantum mechanics with identical particles). Strictly speaking, the anyonic statistical phase factor only occurs when when they are braided at long distances - if you try to braid them close together, it becomes ambiguous which particle is which, and therefore how many times they've circled each other. But the correction becomes exponentially small at long distances: the actual phase picked up in a braiding process is
$\theta = \theta_\text{dynamical} + \theta_\text{anyonic} + o(\exp(-r/\xi)),$
where $r$ is the distance between the two anyons and $\xi$ is the correlation length. (Many people are unaware of this subtlety because their intuition is based on Kitaev's toric code, where the correlation length is zero, so anyons remain well-defined even on adjacent lattice sites.)
Anyway, if you tried to localize two anyons into small wave packets in momentum space, then in real space they would be close to plane waves and therefore have large spatial overlap, so everything would get messed up.
This unfortunate asymmetry between real and momentum space originates from the fact that anyons aren't true point particles (because you can't create just one) but are rather connected by strings, so it's very hard to directly second-quantize anyons. By contrast, with a "true" point particle, the canonical commutation relations are preserved under Fourier transforms, so everything is nice and symmetric between real and momentum space.