Perhaps your memory had incorrectly conflated that with his infamous "The Third Place" commercial for the PS2? I remember a fuss being made about Lynch making that at the time, but I've never heard any claim he directed the PS9 one.
PS2 commercial: https://youtu.be/hzn4WDe13mU?si=dbuofe9HtQ5vW8qq
That isn't it. The Lynch PS2 commercial is in the video in the original article, 16:14 through.