In this paper, we examine the interaction of convection, rotation and mean flows in a thermal annulus. In this system, mean flows are driven by correlations induced by rotation leading to non-trivial Reynolds stresses. The mean flows act back on the convective turbulence acting as a barrier to transport. For this system, we demonstrate that the generalized quasilinear approximation (Marston et al. 2016 Phys. Rev. Lett. 116, 214501. (doi:10.1103/PhysRevLett.116.214501)) may provide a much better approximation to the complicated full nonlinear dynamics than the widely used quasilinear approximation. This result will enable the construction of more accurate statistical theories for the description of geophysical and astrophysical flows.