Pickup ions in the heliosheath contain two main components: those transmitted across the heliospherictermination shock and those locally created within the heliosheath. We find that pickup ions locally created by the charge exchange of neutral solar wind (NSW) may be a significant source of the ions between about 100 eV and 1 keV. Moreover, newborn pickup ions can maintain a highly anisotropic velocity distribution due to the weaker kinetic instabilities in the shocked heliosheath plasma. Hybrid kinetic simulations show the mirror instability to be the dominant mode for conditions just downstream of the termination shock. We estimate the NSW and anisotropy to enhance the expected phase space density of newborn pickup ions by more than a factor of 100. The effects on the observations of energetic neutral atoms (ENAs) are currently being investigated.