I'm not sure if I'd count that as such. It's technically an interior, just with rear projection. A lot of productions do that for driving scenes. Plus I think they did a good job of combining footage in another similar scene to make you believe Kyle was really on the strip.The new Scream movie filmed their entire finale (including a recreation of the famous California house from the original, interiors AND exteriors) in a studio in North Carolina.
I've read that movies like Hitchcock's "Marnie" and, perhaps more notably, "Camelot" were criticized for filming outdoor scenes in studios/on studio backlots, so location shooting became the norm since the 60's. Interesting if we're returning to that, CGI aside. Though things are more advanced, will this lead to artificial-looking sitcom-style exteriors in some cases? But it could add to the ambiance in certain cases, especially in a Lynch movie.
By "artificial-looking sitcom-style exteriors", I meant more something like this:
Or this (from an actual sitcom):