Spoon:
The video one you mention is the only Mazzy video interview I've ever seen. Other interviews I've encountered , few as they are, are all audio. I only know of four recordings of Mazzy Star interviews, in total:
-1994, OCT. 28, MAZZY STAR TV INTERVIEW (Video), MUSIQUE PLUS TV CHANNEL, MONTREAL, kindly upped to yt in two parts by mazzystar.free.fr Forum member Zarik under his yt name UnreleasedOriginal, here:
https://www.youtube.com/watch?v=v7STkdKwlqY
https://www.youtube.com/watch?v=TqgQznBnQDo
-1993, Nov.: VPRO radio performance + interview, which I upped to yt, here:
https://www.youtube.com/watch?v=tNRg4_9fMKA
It's also listed in the Boots list & is downloadable here;
https://drive.google.com/file/d/0BzgPlY ... g2QVk/edit
-1993, Nov. 5: KCRW, Radio performance + interview.( Unfortunately, KCRW blocked this at yt via a copyright claim when I tried to up it to yt). It's listed in the Boots list with this DL link:
http://www.4shared.com/zip/VjN_DB8B/Maz ... 10-05.html
-2013, Aug. 2, Parlhot interview by Sylvain I upped to yt here:
http://youtu.be/TJaFHGAEFiE
It's also findable in the Boots thread as an audio file download.