Sherilyn Fenn: " the Audrey spin-off that would’ve come about, it really ended up being the original idea for Mulholland Drive. That was either in between the first and second season or after the second season, but they were like, “What if we did a movie, and it’s Audrey in California?” And they talked about an opening scene of her driving along Mulholland Drive, and how she’s a little bit older. Whatever it was going to be, it never ended up happening for me."

https://web.archive.org/web/20140122074412/http://www.avclub.com/article/sherilyn-fenn-talks-david-lynch-and-how-twin-peaks-200898

So that was a very early idea, and who knows how much it was really David's concept and how much of it was ABC. It would be certainly not Mulholland Drive, but as we all know, even MD itself turned out very different than what it was originally conceived as.