from itertools import chain

lists = [file1999, file2000, file2001, file2002, file2003]
names = sorted(set(chain.from_iterable(lists)))
new_lists = {col:[name if name in subl else pd.np.nan for name in names] for col, subl in zip(Headers, lists)}

df = pd.DataFrame(new_lists)
print(df)

1999       2000       2001       2002       2003
0  Factory_A  Factory_A        NaN  Factory_A  Factory_A
1        NaN  Factory_B  Factory_B        NaN  Factory_B
2        NaN        NaN        NaN  Factory_C  Factory_C