Merlin & Gwinevere
I believe that the names drawn from Arthurian legend are designed to create an analog mythology to the established mythology of Twin Peaks.
This may be part of a larger analogy. I suspect that Las Vegas is 'Twin Peaks' within Twin Peaks, much like 'Invitation to love' was in the previous series.
What happens in Vegas stays in Vegas, there is no communication between anyone in Vegas and anyone in the other locations, except for the hotel key. I think that Vegas in its entirety is a creation of the Black Lodge and/or Coop's consciousness. It reminds me of Kevin Finnerty and the beacon in the Sopranos.
There are a lot of people in Vegas who think they are real and were living their lives before Dale got there including Jade, the people at Lucky 7 Insurance, the people in the casino, the loan sharks, Ike The Spike.
I think it is interesting the amount of Arthurian legend links the place has but I also think it's a real place (within the Twin Peaks world). Maybe these links have something to do with why Dougie was there?