In Twin Peaks season 2, episode 21 Lucy gives a pose to the beauty pageant judges. She puts her finger to her cheek. I've seen this pose and similar in anime but this episode was aired in 1991 where I thought anime was not widely popular.
Another theory I have is that Italians also have a similar expression where they screw the finger to their cheek meaning beautiful, delicious. That makes more sense in regards to her connection with Richard Treymane with his europhilia. But alas, she is not screwing her finger in the cheek and my Italian girlfriend says that's a prerequisite.