It is pretty clear that his movies are meant to explore the existence of psychological phenomena and are not a statement in of themselves. In that way, I don't think they are meant to be interpreted.
I don’t believe that’s true. Lynch uses characters as abstractions — they represent a concept, which when you understand them add up to a ‘statement’:
* Twin Peaks is an meta commentary about the lack of balance on the small screen (our desire for sex and violence). Interestingly this ended up being a meta-meta-commentary when the network forced them to reveal the killer of Laura Palmer prematurely. Laura Palmer is balance, Dale Cooper is the audience, Bob is our desire for sex & violence, …
* Mulholland Drive is about the casting couch and the destruction of the Hollywood dream for women. Rita is the casting couch, the cowboy is Hollywood, …
* Lost Highway appears to be a comment about plagiarism (namely other directors plagiarising David Lynch). But it also has a similar theme to Twin Peaks as a meta commentary about film — the shots of the road are meant to look like film, the vehicles are meant to represent movies, …
etc.
He always talks about being “true to the idea” — so all abstractions and all surreal elements must be true to the underlying concept. It’s up to us to work out what the underlying theme is (that links all of the abstractions together).
Lynch has said that his interest in making movies came out of painting, which was the first art form he had an interest in. He had an epiphany where he saw making movies as making moving paintings. Some of the most surreal scenes in his movies/shows are just that, combinations of elements that produce feelings in the viewer in the same way a painting might. Watch that scene in Twin Peaks: The Return in the Fireman's Theatre where someone floats up into the air and there are all sorts of other things going on. It's like a framed painting where there are all these moving elements that combine to create something phenomenal.
* Twin Peaks is an meta commentary about the lack of balance on the small screen (our desire for sex and violence). Interestingly this ended up being a meta-meta-commentary when the network forced them to reveal the killer of Laura Palmer prematurely. Laura Palmer is balance, Dale Cooper is the audience, Bob is our desire for sex & violence, …
* Mulholland Drive is about the casting couch and the destruction of the Hollywood dream for women. Rita is the casting couch, the cowboy is Hollywood, …
* Lost Highway appears to be a comment about plagiarism (namely other directors plagiarising David Lynch). But it also has a similar theme to Twin Peaks as a meta commentary about film — the shots of the road are meant to look like film, the vehicles are meant to represent movies, …
etc.
He always talks about being “true to the idea” — so all abstractions and all surreal elements must be true to the underlying concept. It’s up to us to work out what the underlying theme is (that links all of the abstractions together).