Holomorphic Anomaly in Gauge Theory on ALE space

We consider four-dimensional Omega-deformed N=2 supersymmetric SU(2) gauge theory on A1 space and its lift to five dimensions. We find that the partition functions can be reproduced via special geometry and the holomorphic anomaly equation. Schwinger type integral expressions for the boundary conditions at the monopole/dyon point in moduli space are inferred. The interpretation of the five-dimensional partition function as the partition function of a refined topological string on A1x(local P1xP1) is suggested.