I can't see a straight forward way to do it with a single regex, but the following may suit:

use strict;
use warnings;

my $line='*Mary* had a little lamb';
my $bagofwords='had |a |Sam |Tom ';

$line = join ' ', map {s/(\*.*\* | ^(?:$bagofwords)$)/*$1*/x; s/\*\*/*
+/g; $_}
    $line =~ /(\S+)/g;
$line =~ s/\* \*/_/g;

print $line;
[download]

Prints:

*Mary_had_a* little lamb
[download]