Completely missed the point there, dude.
Quite possible, with my overly logical brain. Actually, I did half wonder that as I was writing it.
She never says 'where am I'
Ahh, my mind must have added that afterwards. Just goes to show how our memories can be unreliable about details.
I think the most unsettling thing about Lynch's world is how the total mundane and even depressingly realistic (I don't want people selling their blood to eat!) is woven in most unexpected ways into spiritual transmigration and the mysticism of existence. We all suspect on some level that something about real-life reality isn't exactly what it seems, and Lynch's interpretation of that something is as coherent as any other - existence is weird, or you haven't thought about it enough.
I think Audrey is currently on the realistic depressing side, in a mental institution, and participating in therapy. Though she may find divinity in unexpected places.