Extending Riemannian Manifold to Boundary

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If you have a Riemannian manifold $(M,g)$ (maybe with other assumptions as need), is there a natural way to extend it to a smooth manifold with boundary? For example, the Lobachevsky space viewed as an open disk has a natural extension to a closed disk. Are there any references about this?

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You can search for "compactifications of Riemannian manifolds". For example, this article is a survey discussing several possible different compactifications under some assumptions and provides further references.

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You need some additional assumptions. For example, if you take a cone, and remove its vertex, the resulting object is a Riemannian manifold, but I think there's no way to extend it to a manifold with boundary.