This is in the screen called 'Change to Lookup Column'. To get to this screen, go to any table, right-click on a column, click on 'Change to Lookup Column'.

There is a dropdown menu under the header 'Column to Lookup'. See screenshot below. 

Try doing a lookup and type in something like 'ID' and see how many columns there are. The list is not alphabetized or sorted in any apparent way. Users cannot search for the name of a table, only columns. When building a pivot table, users are able to search by table name and column. Perhaps you could implement the same functionality for this dropdown menu.

Today I am trying to do a lookup from one ID field to another. I have to scroll through hundreds, maybe thousands, of columns. This is so frustrating and a total waste of time. 

Please change this to alphabetical order, improve the search function, or some other method to make this easier for the user.