This article contains plot spoilers for the 2017 series of Twin Peaks.
According to Gordon Cole, the woman was in Buckhorn visiting a turnip farmer friend of her mother whose daughter had gone missing. Cole had joked that the daughter was sure to "turn up," but the woman didn't catch the pun.
Cole sat with the woman on his hotel room couch enjoying a "fine Bordeaux." Cole was telling her a story about a past FBI operation when Albert Rosenfield arrived. Albert asked Gordon if his friend could give them the room, and Gordon told her to wait for him down in the bar. She spent several minutes collecting herself and flirtatiously posing before leaving the room.