First off, I hated the movie. I hate the kind of movie Lynch makes so I should have known better than to rent this one. To me it's all just pretentiousness and bizarreness for its own sake.
That said, this film could be seen as a portrayal of a Purgatory. The story is (in short and without spoilers) about a woman who loses her memory in an accident and meets another woman who helps her try to get it back. Typically for Lynch after a (too long) period of normal narrative peppered with a couple of more or less unrelated incidents elsewhere the story is completely dissembled by a certain small act and becomes a wild nightmarish jumble of scenes as if from a parallel reality or as if jumping to and fro in time. So up to this moment it could portray a character's unwitting entry into Purgatory and from that key moment on all hell breaks loose, literally, engulfing the character (or characters?) in an absurd sequence of events.