Yeah, I don't buy the bird in the opening as being the bird that sings the pretty song.
One interpretation I have read is that it is possibly the Roadhouse (bang bang bar) where the singers are the 'birds' and they are the ones singing the pretty songs, thus always putting music in the air.
Another interpretation I've seen is that this line directly connects other Lynch films to Twin Peaks (ending of Inland Empire for example; many theorize that that 'hotel' setting is a part of the black lodge/white lodge with the singing, the monkey, etc).
The line spoken from the man from another place just seems.. how can I explain this.. "too put there for a reason" as opposed to just a random bit of dialogue, but we never see a follow up and it's always had me curious as to where the place is.
Hmm.. This validates something too... Black and White scenes in Twin Peaks take place in the past. However, there are exceptions in that FWWM took place in the past but it was all in color.
The more I try to figure things out the more I think it really is just us fabricating things that Lynch never intended.