I do think it's a little strange that he tells Cynthia that he's at Cookie's. He doesn't say he's at the Park Hotel. This doesn't look like a place Adam would frequent, yet there he is. He seems to be a regular since he addresses Cookie as 'Cookie' (even though Cookie addresses him as Mr. Kesher) and their exchange hints at a history between the two. And Cynthia seems to know he's a regular.

I thought they might have used the hotel for an affair now and then, since it could be near his studio and he doesn't think it would be a good idea for him to stay at her place. Now that I think about it, "Cookie's" sounds a bit like "quickies." Perhaps Adam was meeting Camilla here (note that she speaks Spanish) and that got mixed up with Cynthia, whoever she is. Lynch said that Cookie was a hotel owner by day, when Adam would be doing such a thing; the fact this scene takes place at night may just be Diane's imagination.

It's also possible that Adam and Cynthia somehow met Cookie in his other line of work...

Another thing that has always struck me funny here...

Maybe it's just me but if you look at the walls while Adam and Cynthia are on the phone, Adam's walls look eerily similar to Cynthia's walls.

This always made me wonder if they were in fact in the same place, but different rooms, and Cynthia's room is a lot nicer...like she's in the 'penthouse suite'. And then this led me to wonder if almost everyone in this film was actually at this hotel...and this is where Diane plucked everyone from to be in her dreams/fantasies as she lay in her hotel room waiting for the next 'customer' (the constant knocking).

Another thing that sorta gave me this impression was the earlier conversation Adam and Cynthia had. While they were talking, Cynthia said "Wait, I'm talking on the phone". Someone was being impatient and interrupting her conversation. A customer? A customer who has paid for his time and doesn't want it wasted while she's on the phone?

Keep in mind that when 'bad' girls are in rooms in a setting such as a hotel, you pay for your time in the room with your chosen girl, not the act(s) she performs.