I've just found this fascinating little webpage for a model maker called David Tremont, who was commissioned to make the miniature inn set for the Everywhere video. It has a nice little gallery of behind the scenes photos of the very detailed set he built, which the live actors were superimposed over:
https://www.artstation.com/artwork/r99P26
He seems to be based in New Zealand now, and the director of the video was an Australian called Alex Proyas, so maybe the whole thing was an Antipodean production?
I've always loved it, as it reminded me in many ways of the Jim Henson series, The Storyteller, with very similar visual effects. I was convinced for years that the lead actor - the highwayman character - was actually Lindsey... He has a very similar look to Lindsey's rather over made-up Tango vibe.
And was there ever really a version where Stevie was included in those spectral black and white shots of the band? Or is that false memory syndrome?