Automated spectrum monitoring necessitates the accurate detection of low probability of intercept (LPI) radio frequency (RF) anomaly signals to identify unwanted interference in wireless networks. However, detecting these unforeseen low-power RF signals is fundamentally challenging due to the scarcity of labeled RF anomaly data. In this paper, we introduce WANDA (Wireless ANomaly Detection Algorithm), an automated framework designed to detect LPI RF anomaly signals in low signal-to-interference ratio (SIR) environments without relying on labeled data. WANDA operates through a two-step process: (i) Information extraction, where a convolutional neural network (CNN) utilizing soft Hirschfeld-Gebelein-Rényi correlation (HGR) as the loss function extracts informative features from RF spectrograms; and (ii) Anomaly detection, where the extracted features are applied to a one-class support vector machine (SVM) classifier to infer RF anomalies. To validate the effectiveness of WANDA, we present a case study focused on detecting unknown Bluetooth signals within the WiFi spectrum using a practical dataset. Experimental results demonstrate that WANDA outperforms other methods in detecting anomaly signals across a range of SIR values (-10 dB to 20 dB).