Here's the relevant info. It helps explain why the movie feels like a beginning, as opposed to a dramatic arc.
Originally conceived as a television series, Mulholland Drive began life as a 95-minute pilot for a series on the ABC network. The series was produced for Touchstone Television. The network was unhappy with the pilot and decided not to place it on their schedule. Rumours emerged that ABC's decision was due to the violence in the pilot (the decision came in the wake of the Columbine High School Massacre in Colorado). Lynch told Premiere Magazine in 2000, "All I know is, I loved making it, ABC hated it, and I don't like the cut I turned in. I agreed with ABC that the longer cut was too slow, but I was forced to butcher it because we had a deadline, and there wasn't time to finesse anything. It lost texture, big scenes, and storylines, and there are 300 tape copies of the bad version circulating around. Lots of people have seen it, which is embarrassing, because they're bad-quality tapes, too. I don't want to think about it."[1] The script was later rewritten and expanded when it was decided to transform it into a feature film.