How to merge and groupby between seperate dataframes

If the two dataframes are not too long, we can do a cross-join:

(df2.assign(dummy=1)
    .merge(df.assign(dummy=1), on='dummy',
           how='left', suffixes=['','_r']
          )
    .query('start<=start_r<=stop')
    .groupby(['data','start','stop'],as_index=False)
    .agg({'words':list})
)

Output:

   data  start  stop                           words
0    11    9.0  13.5                    [go, ahead.]
1    12   14.0  20.5  [nan, nan, nan, nan, nan, nan]
2    14    4.0   8.5                    [Oh,, okay,]