The Wild Blue Yonder

The Wild Blue Yonder is a science fiction film by the German director Werner Herzog, released in 2005. It was presented at the 62nd Venice Film Festival, where it was awarded the FIPRESCI Prize. It went on to screen in competition at the Mar del Plata Film Festival and the Sitges Film Festival, it won Carnet Jove Special Mention at the latter. Most of the film consists of recontextualized documentary footage which is overlaid with fictional sometimes fantastical narration. This technique was used in Herzogs earlier film Lessons of Darkness.

According to the DVD extras, the interview with the alien is filmed in Niland, CA, and nearby Slab City, CA.

Source: Wikipedia