$string = "WORD is the first HEJOU is the Second BOOM is the Third";
$string = preg_replace("#\b([A-Z]+)\b#", "<br>\\1", $string);
echo $string;
OUTOUT
<br>WORD is the first <br>HEJOU is the Second <br>BOOM is the Third
Используемое регулярное выражение гласит:
\b - Match a word boundary, zero width
[A-Z]+ - Match any combination of capital letters
\b - Match another word boundary
([A-Z]+) - Capture the word for use in the replacement
Затем в замене
\\1, replace with the captured group.