Scripted scenes not in the film
The screenplay has some interesting extra content that perhaps sheds more light on what the hell this film is about.
There’s a recurring creepy motif whereby Pete will be invisible to those close to him. At one point his parents are giggling from down the hallway, he opens the door of his room to see them but they can’t see him and he can’t see them.
On several occasions his girlfriend Sheila stares in his direction but can’t see him. At one point she’s waiting for him on the steps to his house and can’t see him entering the driveway, she looks down the street to where he would have been a few seconds earlier and screams ‘with total horror’, ‘HE’S WITH SOMEONE!!’ (I suspect it’s the Mystery Man)
During Pete’s phone call with Mr Eddy and The Mystery Man, the latter is simply referred to as ‘Voice’, so it’s possible that it wasn’t intended to be MM delivering the dialogue about ‘the Far East’ at the script stage.
Ed and Al, the cops from the earlier Fred storyline, are the cops who keep following Pete. In the film it’s two different cops.
There’s an extra videotape at the start before the one that captures Fred murdering Renee. In it, Fred is squatting by the bed next to a sleeping Renee and scowls at the camera, this unnerves Renee and concerns the police, but Fred suggests there’s nothing to worry about.
There are extra scenes with Andy and a couple of prostitutes but they don’t seem terribly important.
The final difference that really stood out was that at the very end Fred’s head contorts while he screams, but there’s no indication that it’s ‘electric’, casting doubt on the popular belief that Fred is fried in the electric chair in real life at the end. The suggestion is that he’s transforming into yet another personality as the Lost Highway rolls on and on.
There are many other extra bits but those stood out, I read the screenplay here: https://www.slideshare.net/xavierpoicon/screenplay-lost-highway-david-lynch
Let me know your thoughts.