The meaning is simple. It's about Lynch's artistic process

It's about why David Lynch became an artist.

So much of the film is autobiographical. From what I've heard it's basically his life with a darkly surreal spin.

Lynch's work is characterized by duality. Light and Dark. In the movie Henry is in a world of Dark but finds Light within his own mind. This is Lynch himself coming to that perspective. Him cutting open the baby i think is a metaphor for cutting open himself

I don't think it's a coincidence Lynch said living in Philadelphia (where the movie is set) was his greatest inspiration. This movie is clearly that story. How Lynch saw that experience and used it to become an artist