On the Twin Peaks: The Return podcast they mentioned another clue that confirms Audrey and Laura are stuck in the same situation: Laura asks if she'll need her coat before she leaves her house.
The whole Audrey plot seems like it was a warm up for the final episode.
Yeah but we really don't know for sure what that "situation" is just yet.
I don't think it's explicitly, "Everything is a dream! It's all fake!" or anything like that like some people are suggesting. I think it more or less lines up with David Lynch's take on reality, in which he's stated in interviews that he believes reality is a dream and one day we'll "wake up," which is just a fancy way of saying "reality is perception" which is the truest statement in existence.
What I think is that Laura, Audrey, Diane, and Cooper are all kind of stuck in an interdimensional state of existence due to their relationship to the Black Lodge. We know, for example, that when someone puts on the Owl Ring AFTER interacting with the Black Lodge in some capacity, they become immediately intertwined with it. Laura put on the Owl Ring, and she became a permanent fixture of the Black Lodge afterwards. Dougie Jones wore the ring, and was also able to transport to the Black Lodge through the electrical outlet. Ray put on the ring, and after his death he was sent to the Black Lodge. Cooper also used the ring to send his dead doppelganger to the Black Lodge as well.
I think the Owl Ring serves two purposes: 1. Protection from Judy. (notice how the Judy symbol is essentially the upside down version of the Owl Ring symbol) 2. Makes you a permanent fixture of the Black Lodge.
I think however Cooper only realized a small extent of what it could do. Cooper's Doppelganger died, and in turn when Cooper came back OUT of the Black Lodge, he got his Doppelganger back to the original body. This is why Cooper came out so stoic and serious with traits of Mr. C and traits of Dale Cooper combined. Cooper became "complete" as a human being, beating the "test" that the Black Lodge gave him. Remember, Hawk said this,
"My people believe that the White Lodge is a place where the spirits that rule man and nature reside. There is also a legend of a place called the Black Lodge. The shadow self of the White Lodge. Legend says that every spirit must pass through there on the way to perfection. There, you will meet your own shadow self. My people call it The Dweller on the Threshold. "
Cooper conquered his Doppelganger, and therefor he was given full freedom to accomplish his goal: To make the Laura Palmer case right and finally solve it. With Cooper's newfound enlightenment, he decided to try changing the past...but Judy didn't like that, and snatched Laura away from him (to what extent, however, is unknown).
Now it's unknown if Cooper actually accomplished creating another reality or timeline or anything of that sort, but I believe Cooper THOUGHT he did. Remember, the opening scene in the final episode showed Dougie Jones being recreated and returned to his family. This means that we're still in the main reality of the series, since Dougie Jones wouldn't need to exist in the first place if Laura Palmer never died. I think what happened here is that Cooper cam back to the main reality from the Lodge and was told specifically by Leland to FIND LAURA.
He exists the Black Lodge, meets up with Diane, and goes to the point where he believes he can access Laura Palmer in the "new" reality he thought he created. However, when he goes there...things aren't what he was expecting. Laura Palmer isn't Laura Palmer anymore, and he isn't Dale Cooper. What he entered was another reality that Laura Palmer was placed in by Judy, rather than the reality he thought he created to had Laura Palmer in it.
I think more or less the same is happening to Audrey and Diane. There's three parts:
Audrey - White-Room Audrey (alternate reality) - American Girl? aka the TRUE Audrey - Twin Peaks Audrey (Tulpa?)
Diane - Linda (alternate reality) - Naido aka the TRUE Diane - Twin Peaks Diane (Tulpa)
This is why Audrey is constantly saying how she doesn't feel like herself, just like Diane did in Episode 16. That's because the Audrey we see in the series isn't Audrey, she's Audrey's Tulpa, created by Mr. C when he raped her. I also believe Audrey and Diane both received Owl Rings as well and were sent to a place where Judy can't get to them in that spaceship (Judy aka "Mother" can bang on the door, but it never opens).
Also, quoting Gordon's dream scene, "We are like the dreamer who dreams and then lives inside the dream. Who is the dreamer?" I think what this by and large means is that people that are intertwined with the Black Lodge in some capacity are able to manipulate and change reality. This is how Cooper was able to change the past, albeit negated by Judy, Cooper still had access to such things. Audrey is the dreamer, Laura is the dreamer, Cooper is the dreamer, everyone is the dreamer because reality is a dream. Just when you access the underbelly of reality aka the Black Lodge, you have more power over that dream. What Cooper is doing in his journey is whatever lucid dreaming in reality is. Cooper beats the badguy in the end due to various circumstances, successfully conquers his Doppelganger, so what went wrong?
What went wrong is that Cooper overstepped his boundaries by challenging Judy at her own games. Then, he was sent to a reality that he has no stake in. Cooper is no longer Cooper, but instead is "Richard" who as far as we know has no association with the Black Lodge or anything of that sort. Cooper thought he had control because he was enlightened, but he set himself up by sending himself to a reality where he and Laura Palmer doesn't exist. This doesn't mean Richard and Carrie aren't connected to Cooper and Laura, but they're still fresh faces in the world of "dreamers" in this new reality.
Also another point to there being alternate realities full-stop is the whole scene with Andy, Truman, Bobby, and Hawk travelling to Jack Rabbit's Palace. When they left, they appear to be stuck in a somewhat Schroder's Cat-like state of some sort. Maybe when they left, they have to re-align themselves with their main reality.