Lynch's recognizable color scheme developed while working on “Blue Velvet”
And since then, it hasn't changed much. The predominant colors in his palette are blue, red, yellow and black.
The first symbolizes mystery (the curtain in the credits of “Blue Velvet”, the blue rose in “Twin Peaks: Fire Walk with Me”, the box and key in “Mulholland Drive”), the second symbolizes sexuality, deceit and danger (the famous Red Room with velvet curtains), and the third is associated with madness.
The red lampshade is the literal border between the worlds. It is with the appearance of the red lampshade in the film “Mulholland Drive” that the viewer's suspicion that everything that happens is a dream is connected. In Lost Highway, he flashes right before the hero plunges into darkness and the subsequent murder of his wife.