I think I finally found it again. It's been awhile since I've seen it. He doesn't directly say he's split, but he does confirm that the other Cooper is part of him and one part is with Bob.
It's from Lynch on Lynch, p. 183: https://www.amazon.com/Lynch-Revised-Chris-Rodley/dp/0571220185/
Interviewer: So, was Cooper occupied by Bob in the script before you changed it?
Lynch: No, but Coop wasn't occupied by Bob. Part of him was. There are two Coops in there, and the one that came out was, you know, with Bob.
Here's another quote from the same interview:
INTERVIEWER: Why was Cooper possessed by Bob at the end? It seems like he’s lost it.
LYNCH: Well the thing is he hasn’t been possessed. It’s the doppelgänger thing, the idea of two sides to everyone, he’s really up against himself.
Not necessarily.
There was a series of books "in conversation" with film directors.
Example: Lynch on Lynch
Excellent format, really.