Thimbleweed Park seems to fit your criteria. One of the reviews even compares it to Twin Peaks. It’s a point and click murder mystery adventure game with where you have to switch between 5 characters.
It’s been years since I’ve played but I think the setting was in a fake Northwest Pacific town.
Fun fact, the names in the phone book and the titles/stories of the books in the library came from Kickstarter backers. Some of the books were pretty funny.