I have my own interpretation of the movie, I haven't shared it with anyone yet, think is about time to do it, since it is quite different from anything I have read so far (and it's been quite some time since the movie opened). I think that what this movie/Lynch is trying to tell us is that God is something like a movie director, casting auditions after a person dies. Depending on the outcome, i.e. if the actor gets the part or not, this person is sent to hell or heaven or even gets another chance in life, the chance to play another part in a movie. In this place, you don't have any recollection of your past, you are given a clean start.
The order of the events is mixed up but note that Diane pays someone to kill Camilla and then commits suicide, so both girls are dead. Camilla dies first so she goes through this "audition" first and apparently doesn't get the part (remember that when Betty auditions, the man there mentions something about a brunette woman that also auditioned), so she is not given another chance, unfortunately. Now recall that in the beginning of the movie, a person is trying to lead Camilla somewhere that she doesn't want to go but then an accident happens. So instead of being put away since she fails, she is now on the loose.
Diane now is also there, since she committed suicide out of guilt, not long after Camilla was killed. The two women now meet in this place which is something like in-between the real world and hell/heaven, something that shouldn't have happened. Now recall that there was a strange woman living there, kinda spiritual, that freaked out when she saw Camilla and told that "she shouldn't be there".
None of the two women have any recollection of their past life, but at the end, inside the "Silencio" club, they remember everything, this is what the opening of the weird blue box symbolizes. Both women have failed, Diane wakes up by a freaky cowboy in cheap motel, a symbolism for hell. I haven't seen the movie in a while, but I do remember that everything weird could be explained under my assumption. Thanks!