Generate the set of prepend-append permutations in lexicographically sorted order

CJam, 22 20 19 17 bytes

]]l~{)f+_1fm>|}/p

Code expansion:

]]                   "Put [[]] onto stack. What we will do with this array of array is";
                     "that in each iteration below, we will first append the next";
                     "number to all present arrays, then copy all the arrays and";
                     "move the last element to first in the copy";
  l~                 "Read input number. Lets call it N";
    {         }/     "Run this code block N times ranging from 0 to N - 1";
     )f+             "Since the number on stack starts from 0, add 1 to it and append";
                     "it to all arrays in the array of array beginning with [[]]";
        _1fm>        "Copy the array of array and move last element from all arrays";
                     "to their beginning";
             |       "Take set union of the two arrays, thus joining them and eliminating";
                     "duplicates. Since we started with and empty array and started adding";
                     "numbers from 1 instead of 2, [1] would have appeared twice if we had";
                     "simply done a concat";
                p    "Print the array of arrays";

How it works:

This is a debug version of the code:

]]l~ed{)edf+ed_ed1fm>ed|ed}/edp

Let's see how it works for input 3:

[[[]] 3]                                 "]]l~"            "Empty array of array and input";
[[[]] 1]                                 "{)"              "First iteration, increment 0";
[[[1]]]                                  "{)f+"            "Append it to all sub arrays";
[[[1]] [[1]]]                            "{)f+_"           "Copy the final array of array";
[[[1]] [[1]]]                            "{)f+_1fm>"       "shift last element of each";
                                                           "sub array to the beginning";
[[[1]]]                                  "{)f+_1fm>|}"     "Take set based union";
[[[1]] 2]                                "{)"              "2nd iteration. Repeat";
[[[1 2]]]                                "{)f+"
[[[1 2]] [[1 2]]]                        "{)f+_";
[[[1 2]] [[2 1]]]                        "{)f+_1fm>";
[[[1 2] [2 1]]]                          "{)f+_1fm>|}";
[[[1 2] [2 1]] 3]                        "{)";
[[[1 2 3] [2 1 3]]]                      "{)f+"
[[[1 2 3] [2 1 3]] [[1 2 3] [2 1 3]]]    "{)f+_";
[[[1 2 3] [2 1 3]] [[3 1 2] [3 2 1]]]    "{)f+_1fm>";
[[[1 2 3] [2 1 3] [3 1 2] [3 2 1]]]      "{)f+_1fm>|}";
[[[1 2 3] [2 1 3] [3 1 2] [3 2 1]]]      "{)f+_1fm>|}/";

Try it online here

Haskell, 47 bytes

f 1=[[1]]
f n=(\x->map(++[n])x++map(n:)x)$f$n-1

Python 2, 68

f=lambda n:[[1]]*(n<2)or[x*b+[n]+x*-b for b in[1,-1]for x in f(n-1)]

Outputs a list of lists of numbers.

A recursive solution. For n==1, output [[1]]. Otherwise, add n to the start or end of all (n-1)-permutations. Prepending makes the permutation lexicographically later than appending, so the permutations remain sorted.

The "Boolean" b encodes whether to put [n] at the start or end. Actually, we move the rest of the list x in the expression x*b+[n]+x*-b. Putting b as -1 or 1 lets use flip by negating, since a list multiplied by -1 is the empty list.