[Most of this was written before the finale, but surprisingly not only that the finale didn't refute the below theory it strengthen it, so I added a whole new section that reflects that, and in retrospect the theory seems also to explain why Billy and Audrey were not in the finale, all the clues are here]
A second and a half before the Twin Peaks finale I have a theory about Audrey, Billy she's looking for, and the dream theme repeated over and over again in Twin Peaks.
I will take you step by step down the rabbit hole, just bear with me:
Audrey is looking for Billy, her lover, the one she seems to sleep with while she was in a relationship with the dwarf/not dwarf Charlie. It is Billy who will save her from the miserable life she seems to be living.
In part 16 Audrey finally arrives at the Roadhouse, right after we are introduced to Eddie Vedder – not by his stage name, but by his real name – Edward Louis Severson the third, and that's significant.
After the show we discover that Audrey is not really in the reality of Twin Peaks, but in some dream she dreams, and in fact in the Twin Peaks reality she's actually in a bright white room, in front of a mirror no less, probably at Ghostwood madhouse that was also mentioned in her conversations with Charlie.
Another hint that Audrey is not in the Twin Peaks reality hinted to me by the user EpicEsquire that he read in this article, and I quote:
"Another clue is the Emcee’s words. He calls it “Audrey’s Dance”. That is the name of that track on the Twin Peaks soundtrack alright, but in *our* world. Not in the world of Twin Peaks. She didn’t punch “Audrey’s Dance” on the RR Diner jukebox 25 years ago. So what is *that* supposed to mean?"
But who is Billy? There was some mentioning of Billy, that his truck was stolen, but they might just share the same name.
But what if Billy is Billy zane?
Wait a second, There is no Billy Zane in the reality of Twin Peaks, that's the name of the actor, the one who plays Audrey's lover from the original season, John Justice Wheeler
So let's move to the movie for now, Twin peaks: fire walk with me, and remember Phillip Jeffries (another one that shares a first name with other character, Philip Gerrard).
What does Phillip Jeffries say, whom is our beloved David Bowie?
"We live inside a dream"
And in part 14, in Gordon's dream – purposely Gordon, the one who is david lynch the director of the series in the non Twin Peaks reality – says no other than Monica Bellucci, the only character until then that appeared as part of the non Twin Peaks reality, actually elaborate on what David Bowie says:
"We are like the dreamer who dreams, and then lives inside the dream. "Troubled, she then asked:" But who is the dreamer?"
Friends, David Lynch tells us something here, over and over again, and we all ignore him, there are three "realities" in Twin Peaks (a number which lynch really adores).
The first is the "normal" reality of the series (which is quite funny to call it "normal"), the Twin Peaks reality.
The second is the unusual reality of the series, the reality of the red room, the black lodge, the white lodge, and so on.
And the third reality my friends, and here is the center of my theory, is our reality, us the viewers, this world, the world of Monica Bellucci, and David Lynch (not Gordon!).
Notice what happens in Gordon's dream, he is looking straight to the camera – the fourth wall breaks, the wall that breaks in movies and series only when the character exit his own media and talk to us the viewers:
Gordon meets Monica in a street in Paris, so when he turns around and looks at us he also looks at a very specific place….
Let's continue, Billy is mentioned twice more.
Once in Part 14, in the Roadhouse, in a conversation between two women (that one of them as Maura noted his David Lynch own wife). Those two for some reason did not appear before or after this scene (and I bet they will not even appear in the finale and I have a reason), blabbering about how Billy jumped over the fence and was bleeding from the nose and mouth, and Yada yada yada.
Second time Billy is mentioned for a moment, is when the son of David Lynch ladies and Gentlemen, now his son in our reality, himself, running and asking where is Billy?
And then what happens? All people on the bar at the diner are replaced! Reality has changed back!
What am I actually saying here?
I'm saying that Audrey sees our reality, that Gordon in his dream sees our reality, that Monica Bellucci's question can be divided into three parts and explained as follows:
1. "We are like the dreamer who dreams" – The We in this sentence are us, the spectators who stare at the screen and dream of Twin Peaks with David Lynch.
2. "and then lives inside the dream" - Which of us, the devoted fans, does not feel living inside a dream called Twin Peaks? That we spend the rest of the days glazed with dreamy eyes, and do not know what to do with ourselves until the next part arrives.
3. "but who is the dreamer?" And that of course are us, the series is taking place in our collaborative dream, Twin Peaks itself constitutes one of the main themes this season – the series is a "Tulpa", the imaginary creation of us all. Again I'm not saying that Twin Peaks is a dream, I'm saying it exists just as our reality exists, and we manifest it in our dream. There's a big difference.
One last thing, remember what pulled Dougie's attention and after 16 long and frustrating hours manifest him to existence as Dale Cooper?
After doggie hitting the remote 3 times, it was none other than a movie from our reality – Sunset Boulevard, with a character which drove David Lynch the creator to name his Twin Peaks counterpart Gordon Cole.
And I wish that was what David Lynch tried to convey, because I must add that this is how I see most of the series and films in my life, and that is how I read most of my books – with a great belief that somewhere in some universe (just like "The Tempest" in Dan Simmons Ilium / Olympus books) we create, we "Tulpa" into existence what we read or watch.
And in this case Twin Peaks, we bring it into existence in our desire for it to take shape, and here in Twin Peaks the piece we created looks back at us in a mirror, us the dreamers, Shockingly (like us) saying three times, What? What? What?