Creo que no (gracias a Dios), pero...Se sabe si hay alguna entrevista o algún medio escrito donde él establezca qué cojones quiso dar a entender con el film?

Interview: David Lynch on 'Inland Empire' I - The Idea - Parallax View
David Lynch, interviewed in 2007 while promoting his (then) new film 'Inland Empire' in Seattle.

It has a complete story, it’s just that there’s the story and the way the story’s told, and then there are stories that are more surface and there are stories that hold abstractions. Something that’s not so concrete that has something to do with feeling or intuiting a thing. And that’s what I love about cinema. So it’s a story but a story that hold abstractions. And again, that comes with the ideas.
It’s not a game, that I like to confound people and see what they come up with. The filmmaker should have a definite, solid idea of what it means, but that never comes right away. It kind of comes part way and then more and more as it’s all revealed. And then when you’re working on the whole, by then you know what it means until the whole feels correct. When something is more abstract, all kinds of interpretations come out, but if I said, “Oh, that’s a wrong thing,” and I wasn’t willing to say mine, that would be a very bad thing. So I think every interpretation is valid.
There’s another thing I’ve been talking about, this thing of harmonics. Sometimes I think it’s possible to be true to an idea and that idea could be seen as the fundamental notes of a chord, and if you’re really true to those and translate them until they feel correct, then also the harmonics from higher things might be true, because the fundamental notes are true. So harmonics that you didn’t even know about might be true. Now somebody in the audience is getting a more sublime, cosmic kind of interpretation. Ten years from now I might see the same film and get that. If you’re true to the thing, you don’t know what you’re doing at all levels. It’s kind of strange.