David Lynch says Lost Highway plot was based on the O.J. Simpson trial

From his book "Catching The Big Fish"

quote:

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“At the time Barry Gifford and I were writing the script for Lost Highway, I was sort of obsessed with the O.J. Simpson trial. Barry and I never talked about it this way, but I think the film is somehow related to that.”

“What struck me about O.J. Simpson was that he was able to smile and laugh. He was able to go golfing with seemingly very few problems about the whole thing. I wondered how, if a person did these deeds, he could go on living. And we found this great psychology term—'psychogenic fugue'—describing an event where the mind tricks itself to escape some horror. So, in a way, 'Lost Highway' is about that. And the fact that nothing can stay hidden forever.”

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LINK

If you were confused about what the movie really is about, hopefully that should clear things up a little bit.