To be honest, this is one big question I'm having about all of this is location things.
Twin Peaks is the place where the entrance to the Waiting Room is, but we now know an Atomic Bomb blast occurred in Mexico which lead to something happening. So what does the Atomic Bomb have to do with things and why is the portal in Twin Peaks and not New Mexico?
You know, actually I'm starting to get another theory from just typing that. WHAT IF the Atomic Bomb isn't the origin of how our worlds began to connect, what if they were already connected before then? The Convenience Store I don't think is in New Mexico (and actually the one you see the kids walk past looks different than the one we see), but what if this is where BOB was born, either in general or into our world? As in during great tragedies on Earth make it so Mother gives birth to things either in the other world or allows things from the other world into our world, so they can reap into ours? The Atomic Bomb didn't create a fissure in reality or something, our worlds have always been connected but the Atomic Bomb is what gives birth to BOB specifically as the great sins it'll produce. It also explains the music for mourning the victims of the USA bombing on Japan the scene chooses to use because of the great tragedy it will create. BOB is born from this tragedy (either in general or to our world), and maybe the other entities of the Lodges are born from great acts of goodness and tragedies themselves or allowed passage here from them.
So the episode isn't an origin of how our worlds got connected, but more showing another way the worlds are connected, if that makes sense. That also would explain why they're Woodmen (Woodmen don't work in the desert, what?), the likely source of them from Twin Peaks as Secret History shows (also again, why would there be a collection of woodmen in the New Mexico desert, and they don't come from underground they come from the sky?), and other entities already existed or came to our world before this.
It might not even be specifically birth, like I'm not quite convinced the Frog-Moth thing is BOB, and we see Mother vomits out a lot of eggs (and the Frog Moth comes from one of the eggs Mother spits out, not the weird orb things BOB is in). Maybe the greater the tragedy, the more from the Black Lodge that's allowed to seep into our world and BOB just comes along because the opening is big enough for him to come through (which while I know is reused footage, might explain why he's 'born' laughing maniacally in glee). While this is just a theory, I think this makes more sense than this being when our worlds first connected (and I mean the Purple Ocean has a machine that seems directly connected to delivering things to Earth already).