“Where’s Audrey?” It was the question “Twin Peaks” fans could not stop asking across all 18 hours of David Lynch’s Showtime event series. The director and co-writer Mark Frost kept the fan favorite character hidden until the 13th hour, and when she finally appeared on screen — seemingly confused and married to a character fans had never met before — the question of “Where’s Audrey?” only intensified.

Lynch ended Audrey’s story on “The Return” with no answers whatsoever. In her final appearance at the very end of Part 16, Audrey preformed a strange dance at the Roadhouse and then all of a sudden woke up and screamed in an all-white room where she was looking at herself in a mirror. Viewers were left predictably baffled. Was Audrey still in her coma from the bank-vault explosion in Season 2? Lynch refused to answer, but Mark Frost has come to the rescue in his new book,...