It's make sense in the context of the song.
"Touch me, baby, put your lips on mine
Could go to hell, but we'll probably be fine
I know you want it, baby, you can have it
Oh, I've never done it, let's make it cinematic
Like that one sex scene that's in Mulholland Drive
I wanna know, baby, what is it like?
I know you want it, baby, you can have it
Oh, I've never done it, naked in Manhattan"