Which episodes of Twin Peaks mention the concept of 'tulpa'?

The quick answer: The word 'Tulpa' does not appear anywhere in the Twin Peaks series.

The long answer: If the word doesn't appear in the series why would I have such a strong memory of hearing it? In series 2 episode 20, Major Briggs shows Cooper a video tape of Windom Earle where he uses the word 'Dugpa', also of Tibetan origin:

... these evil sorcerers, dugpas, they call them, cultivate evil for the sake of evil and nothing else. They express themselves in darkness for darkness, without leavening motive. This ardent purity has allowed them to access a secret place of great power, where the cultivation of evil proceeds in exponential fashion. And with it, the furtherance of evil's resulting power. These are not fairy tales, or myths. This place of power is tangible, and as such, can be found, entered, and perhaps, utilized in some fashion. The dugpas have many names for it, but chief among them is the Black Lodge.

But you don't believe me, do you? You think I'm mad.

Overworked. Go away.

It seems I misheard the unfamiliar word 'Dugpa' for a word I was at least vaguely aware of.

Having said that, a Tulpa in Tibetan Buddhism and Bon shamanism refers to a thought-form created through the discipline of sorcery such that it appears as a being or object that can be seen and interact. The initiates of the Dugpa sect would certainly be included in the list of sorcerers that can reputedly do this.

If the magician characters in Twin Peaks were based on the real Dugpas they were named after, it would certainly be a possible explanation for some of the phenomenon they manifest...