First off, there's the fact that the ending is specifically spoofing David Lynch films, mostly Mulholland Drive and Lost Highway, and in that order. (I also discovered that completely by accident I had ripped off a shot from Fire Walk With Me.) That said, the film does make sense, if only in a slightly offbeat way. In Corn Dog 7, we see that aliens are coming to destroy the last remnants of humanity on the planet Mars, after successfully destroying earth years before. Though Earth virtually eradicated the alien armada, the plunging of the alien flagship into the sun caused the star to swell out of control and become a red supergiant . Faced with defeat, the alien forces sent two agents back through time to the earth prior to the invasion so that they might place a targeting beacon on the planet to guide an electromagnetic death ship back in time to destroy earth before it could properly retaliate. However, having snatched the bodies of two wildlife researchers to disguise their movements, the alien agents begin to take on the memories of their stolen personas and forget their mission, only accidentally activating the homing beacon whilst nailing it to the head of a fire-breathing alligator some weeks after the war had concluded. In an attempt to salvage the operation, a K-12 class robot is sent to the appropriate fragment of earth to teleport the beacon (and the alligator) back in time to the pre-destroyed earth, and then to teleport the agents back to their homeworld and their planet-busting warship to complete their mission. Unfortunately, the beacon was not sent back to a time before the arrival upon the earth of the agents themselves, and when they opened fire with their Death Zooper, it destroyed their past selves and collapsed the timeline wherein their armada could have been saved from defeat. Pisser. Only the two alien agents survive the battle for earth, but they'll be laughing out the other side of their ass when they go back in time and end up sucking down their own death ray.
Then the alligator wakes up and remembers it was all a confusing bedtime story it heard long ago, and yearns for the days of its youth when his friend Charlie would take him sledding, before he got too big to be a pet and was flushed down the toilet into a Pooka-infested concrete mine.
So you see? It makes perfect sense! And if none of the above actually comes across in the films, well, whose fault is that?