I agree with the theory that has Cookie as the Lamp Lady's dream doppelganger (she warns Diane in reality about the detectives looking for her, he warns Adam/Diane in the dream about the bankers looking for Adam; both Hispanic; both associated with a change in living situations), but I was wondering where Diane's subconscious might have gotten Cookie's physical image and name to work into the dream.
One possibility is that he is the Park Hotel manager in reality (or some similar place), where call girls might rent space. If indeed Diane was into that business (and I think it's likely she was), she could know him from there. "I pay you in cash, Cookie."
But another that I haven't seen discussed is whether he might be in reality exactly what his name implies: the Cook at Winkie's. Granted, this is pure speculation, since we never see the cook. But if Diane also waitressed there (as it seems implied she may have... name tags, coffee cup in her apartment, etc.), then obviously she would have known the cook. Even the "I pay you in cash" line might apply if the diner waitresses shared tips with the cook...


