There's some absolutely great thinking here! I can definitely see and feel the bardo interpretation. I do tend to look at The Return through a spiritual angle, and believe Lynch does too (Frost I believe possibly does too, but his scope is more varied and wide ranging - check the secret history - in fact I'd argue Frost is just as much about mystery as Lynch, but Lynch I think is more spiritual overall).

The main key for me is the repetition of the red room Mike "is it future or is it past"/Laura/The Arm scenes. Quite often a jump cut is used to get back to starting positions, which suggests what had been seen just before is actually a mental projection produced by Mike (?) to show Coop he's been here before, in this exact situation. And if he's been here before (how many times?), then it suggests Mike and co. want Coop to realise this, to realise the illusion, to realise the ego at work and let go of it. And what could be more egotistical than thinking Laura still needs to be saved, by him no less?

In terms of Annie, I know Functional Dougie hadn't read Mark Frost's books at the time of the original post, but The Secret Dossier doesn't suggest Annie was seen to the writers as particularly important to them in the world of The Return.

A side note; I understand the argument that the end result must and is more, much more, than the production process. Mulholland Drive was given as an example, and the openess of Lynch's work proves the significance of a multi-faceted art over what the production originally intended (look at how many interpretations of say Eraserhead there are without taking away from the power of the work itself). But I would also note that Annie was a replacement love interest for Coop after Kyle rejected the idea of a Coop-Audrey coupling. And outside of the cliffhanger (how's Annie?), I don't know how much significance Annie has taken on in and of herself by the viewership.