Paris, one of the most important art capitols, is the cradle of surrealism. Pretty sure that has something to with that scene being placed there. Lynch owns a club there. He has an affiliation to the city.
There are also some more deliberate reality vs. fiction shenanigans going on there: the inclusion of Monica Bellucci, Lynch had an art exhibition "Plume of Desire" in that very street. Some say that it's that very exhibition space which Cole turns to look at. Possibly making him/Lynch the dreamer?
In Lynch's original handwritten notes. (one of the very first "leaks", obviously deliberate) There was even something about a scene in which we'd enter a TV and the film would become the reality above the description of the Bellucci dream. Take a close look:
No, this had nothing to do with tax cuts. This was one of Lynch's most creative ideas he just had to roll with. If you ask me, the man probably had a real life Bellucci dream whilst deep in the writing process and pondering over Cooper's character. One of the most powerful scenes in the Return for sure.
Oh boy, would it be great to see more of that notebook. A true goldmine of Twin Peaks secrets. Too bad it's probably the last thing we'd ever be able to lay our hands on.