This article contains plot spoilers for the 2017 series of Twin Peaks.
Billy was Audrey Horne's extramarital lover.
At the Roadhouse, Tina's daughter Megan told Sophie that Billy had recently jumped over a six foot fence and run into their kitchen while bleeding profusely, holding his head in the sink before running out again. The episode, lasting about ten seconds in total, was witnessed by Tina and Megan, and possibly Megan's uncle.
Two days after Billy's disappearance, Audrey browbeat Charlie into going to the Roadhouse with her to look for him, even though Billy supposedly hated the place. Charlie called Tina to ask about Billy, but got some disturbing news.