Annie Lennox is a woman who does what she wants. And why shouldn’t she, considering the wealth of material she’s released over the decades? Her legacy speaks for itself, which is why she has put the idea of new material on hold to release her second covers album in a row, the pleasingly-titled Nostalgia.

Following 2010’s A Christmas Cornucopia, Nostalgia is an album filled with Lennox’s take on the Great American Songbook, classic tracks taken from the 1930s and ...