My newest thought is that Diane's suicide is not real. It's just another fantasy of hers. The monster behind Winkie's unleashes the evil old couple from the blue box. All of these people and items are from the dream. When the old folks are crawling under the door and knocking is heard, Diane's eyes flutter — REM, anyone? She hears her own screams faintly in the background. Then, abruptly, Irene and company are chasing her around her apartment. There's lightning or something — it's very nightmare-like.
It's been pointed out that a blue box seems to be next to the gun, in the drawer. Another dream element. So either Diane is hallucinating severely (which is what I thought at first), or this whole sequence is in her head. After she shoots herself, vapours rise around her bed, making the whole scene look very unreal — very Club Silencio-like. This is after she is dead, so it can't be her hallucination, can it? It must be that she is looking at herself through a dream perspective.
Then the scenes of her with the blonde Rita/Camilla and the "monster," overlooking Los Angeles — this reminds me of the beginning sequence with the jitterbugging, which are Diane's thoughts before she falls asleep and dreams the first two-thirds of the film. So she's alive and thinking. Then the very last scene. The blue-haired lady says "Silencio." This lady isn't real; she's a product of Diane's dreamworld. So Diane must be alive for her to exist.
I think it makes the story even more moving — the idea that Diane is so miserable and dreams of how things could have been better, then, when that falls apart, dreams of how it could all end. But she can't kill herself any more than she can start her life over as someone else.