You can say that a lot of Lost Highway is internal. It’s Fred’s story. It’s not a dream: It’s realistic, though according to Fred’s logic. But I don’t want to say too much. The reason is: I love mysteries. To fall into a mystery and its danger… everything becomes so intense in those moments. When most mysteries are solved, I feel tremendously let down. So I want things to feel solved up to a point, but there’s got to be a certain percentage left over to keep the dream going. It’s like at the end of Chinatown: The guy says, ‘Forget it, Jake, it’s Chinatown.’ You understand it, but you don’t understand it, and it keeps that mystery alive. That’s the most beautiful thing. For me, a film exists somewhere before you do it. It’s sitting in some abstract world, complete, and you’re just listening to it talk to you, telling you the way it’s supposed to be. But not until all the sound and music and editing has been done do you truly know what it is. Then it’s finished. It feels right, the way it’s supposed to be, or as right as it can. And when it’s finished, you’re back in a world where you don’t control anything. You just do the best you can, then say farewell.
Rolling Stone, March 6, 1997 Lost Highway Lynch Interview (via bbook