Filmmakers are drawn to The Veils. Their music has been used in films by the likes of Tim Burton and Paolo Sorrentino, and in TV shows such as Lucifer, the Fox adaptation of Neil Gaiman’s comic book character.

Sorrentino was one of the first directors to use their music in his work. Frontman Finn Andrews still isn’t quite sure what exactly it is that appeals, but he notes that there definitely is some kind of connection between his music and visual art. All the first records he bought were film soundtracks: Romeo and Juliet (“still holds up after all these years,” he says), Pulp Fiction…

There’s something very visual about his lyrics which translates beautifully when featured with a particular character. So it’s not so much of a surprise that they ended up at the Bang Bang Bar in Twin Peaks performing “Axolotl” off their latest album Total Depravity: a shuddering, unsettling song with a black heart.

Yet not too long ago, Andrews found himself in a “really shitty place” – two years into making the record and unsure where the band were going to go next.

“We’d nearly run out of money, nothing was finished, and I was in LA for some reason when I got in touch with Dean Hurley,” the 34-year-old says.

Hurley is the music supervisor on Twin Peaks – Lynch’s closest musical collaborator – and worked on his album Crazy Clown Time, a record that Andrews loves.

“He [Hurley] said I should come by the studio, gave me this address and it was one of those 4,000 American addresses with too many numbers,” he laughs. “I got out of the car and saw the house from Lost Highway.”

Andrews continued driving through LA and found himself getting more and more lost, because everywhere looked like something out of a David Lynch film.

“Finally we saw this building, which had been covered in black tarpaulin, and it was a really windy day so it looked like it was breathing. So we were like: “It’s that one.”

“We were kind of terrified by that point, but he [Lynch] was so cool, there was this collaborative spirit from people who have worked together for years. There are few people I care about meeting in that way, so it was intimidating but they were all really nice.”

‘Most people work for free with us. Because we do, I suppose. It’s out of love’

Meeting Lynch was a turning point for Andrews, who needed those words of encouragement from someone whose work he loved and respected.

“David was like [Andrews adopts a ‘Lynch’ voice]: ‘Your voice, it’s like Gene Vincent. The way you sing, it’s like an exorcism.’

“I nearly threw up on him with delight,” he says, giddy just remembering the conversation. “That got me through the last two years of getting a record together.”

The visuals accompanying their latest album have been superb. On “Low Lays the Devil”, the song used in Lucifer, a horned, red-skinned demon dances around Etonian brats and a Donald Trump lookalike – later joined by Andrews’ dancing silhouette (you can recognise him by the hat).

“We made a few shit videos at the beginning, so there’s a conscious effort to have fun with it now,” he says. “I’m a film groupie as well, so I really like the process. We come up with these ideas, it’s become more and more of a family with us.

“The band is so much like that, we’re always working with our friends. I feel like that’s how it should be. That was the beauty of the Twin Peaks experience: David Lynch has been working his whole life creating this family of people that he loves working with.”

Frontman Finn Andrews: ‘Every performance feels like a real privilege, so you want to take people to as an intense place as you can’

The band spent far longer working on Total Depravity than anything they’d done before. The Veils have never had hits – Andrews calls the band “as about as underground as you can be where you can still keep going”.

“Most people work for free with us. Because we do, I suppose. It’s out of love. We didn’t have very much money, we were moving around working with different people. So it was a struggle getting things together. There was a perception of us as a band, in some circles… it’s nice that people want to work with us.”

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Andrews is also working on a solo record, carving songs out of lyrics scrawled in hundreds of notebooks he says “haunt him” on a daily basis: “I like the idea of doing something really stripped. I’m so used to having songs in various states of completion… or disrepair, maybe that’s a better word for it. So I’m ploughing through them.”

Three shows took place in New Zealand, his first proper solo outing, which he found “confrontational” and “weird”.

“You feel that all the stuff you worry about is completely exposed. It’s great, I enjoyed it. When we do live shows with the band, it’s an intense set, then I come out and do a few on my own.

“I do like performing. I guess I feel more like I have some element of control. When we started I felt like I’d won a competition or something, it didn’t make sense that I was allowed to be onstage, that people would pay to see someone who didn’t know what they were doing. It took a while to get over that.

“Now… it seems a shame to not make the most of that experience that you get to have. I really enjoy the energy that’s coming from that, every time feels like a real privilege, so you want to take people to as an intense place as you can.”

‘Total Depravity’, the latest album by The Veils, is out now - the band are on tour across the UK from 8 September.

‘Twin Peaks’ airs 2am on Mondays on Sky Atlantic and NOW TV with the Entertainment Pass, in a simulcast with the US. The episode will then be shown again at 9pm on the following day. You can catch up now on season one and two via Sky Box Sets and NOW TV.