What if the Red Room, Black and White Lodges and everything that exists inside them are just in dreams while Cooper has dreams about them in a way the spirits and evil come out and relate to the real world and real people in Twin Peaks. Maybe there are a few gifted people who can dream about the Lodges and while in their dreams the spirits or any other creation there can take over and exist in real world as well because Cooper and the others who dream about them allowed them or they used it as a portal to come out to the real world. 

We live inside a dream

We are like the dreamer who dreams, and then lives inside the dream. But who is the dreamer?

For example Coop is the dreamer, he dreams about the Lodges that exist only in dreams and only a few can dream about them, but the spirits there have the power to make him continue to dream/live inside their world, which is a dream. So all that can affect the real world and make the real people live inside the dream. so who is the dreamer? the dreamer is everyone because the Lodges and the spirits are out in the real world which makes it a dream.

Just a few thoughts...