If you add a lookup column to a list/library from UI, it allows you only to pull information from a list within the same Web. However, if you need a lookup column to pull from a list in any web in the same site collection, you can do so through code. AddFieldAsXml method of SPFieldCollection, as shown below, does the trick for us:

string fieldXML = "<Field DisplayName='MyLookUpColumn' Type='Lookup' Required='FALSE' List='" + listThatHoldsLookupData.ID + "' WebId='" + webThatHoldsLookUpDataList.ID + "' Name='MylookUpColumn' ShowField='" +  Internal Name of data source column + "' />";       
list.Fields.AddFieldAsXml(fieldXML, true, SPAddFieldOptions.AddFieldToDefaultView);

After adding cross-web lookup column as above, you can change the source column from UI but not the source List. Make sure that you are providing the internal name of the data source column for ShowField attribute.