http://www.rollingstone.com/music/news/see-nine-inch-nails-play-shes-gone-away-on-twin-peaks-w489713
Was surprised to see Joey Castillo on Twin Peaks performing with "the" Nine Inch Nails. This had to of been filmed around the time Scott passed away.
Castillo was the drummer of Queens of the Stone Age for a decade, so it's not surprising he'd play with semi-frequent Homme collaborator Trent Reznor.
Doubtful it was recorded around the time Scott passed. They're playing a sog from an albums released a year after Scott's passing, and I can't imagine this show was recorded 1 and a half years before broadcast. I'm guessing it was recorded late last year.
EDIT: Whoops, didn't realize how long production was on the Twin Peaks revival. It was indeed filmed from December 2015-April 2016