Title Keywords in Context
Pyth, 25 24 22 bytes
VSsm,Rdcd\ QAN:HGjG&quot;&lt;&gt;

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Takes input as an array of lines, like [&quot;Green Sleeves&quot;,&quot;Time Was Lost&quot;].
Explanation
VSsm,Rdcd\ QAN:HGjG&quot;&lt;&gt;   implicit: Q = evaluated input

   m       Q                   map input lines:
       cd\                         split input line to words
    ,Rd                          replace each word by pair [word, entire line]
  s                          concatenate results for all input lines
 S                         sort the array of pairs lexicographically
V                        loop over the array
            AN             assign the word to G and the corresponding line to H
                 jG&quot;&lt;&gt;       put the word between &lt;&gt;
              :HG          replace the word by the above in the line and print