“I have written a few short stories for different venues, but I don’t see a big market in writing collections of short stories—at least not enough to sustain a living. Short stories are great for writing, but this is how I earn a living.”

Interview with Don Swaim (1986)
Context: I write short stories. They may appear big in size, but when you consider it, they're four or five novels in one. … In return for picking up one of my books, I'm trying to give them value for their money. … the goal of writing any book is to create the illusion that what you are reading is reality and you're part of it.

The Daring Young Man on the Flying Trapeze (1934), A Cold Day
Context: If you can't write a decent short story because of the cold, write something else. Write anything. Write a long letter to somebody.

Source: Skeleton Crew

The Paris Review interview (2010)

The Casebook of the Black Widowers (1980), p. 177
General sources
Context: When you write a short story... you had better know the ending first. The end of a story is only the end to the reader. To the writer, it's the beginning. If you don't know exactly where you're going every minute you're writing, you'll never get there — or anywhere.

Address at Bennington College (30 October 1984) as published in "Reflections of a Writer: Long Work, Short Life" in The New York Times (20 March 1988)
Context: I have written almost all my life. My writing has drawn, out of a reluctant soul, a measure of astonishment at the nature of life. And the more I wrote well, the better I felt I had to write.
In writing I had to say what had happened to me, yet present it as though it had been magically revealed. I began to write seriously when I had taught myself the discipline necessary to achieve what I wanted. When I touched that time, my words announced themselves to me. I have given my life to writing without regret, except when I consider what in my work I might have done better. I wanted my writing to be as good as it must be, and on the whole I think it is. I would write a book, or a short story, at least three times — once to understand it, the second time to improve the prose, and a third to compel it to say what it still must say.
Somewhere I put it this way: first drafts are for learning what one's fiction wants him to say. Revision works with that knowledge to enlarge and enhance an idea, to re-form it. Revision is one of the exquisite pleasures of writing: The men and things of today are wont to lie fairer and truer in tomorrow's meadow, Henry Thoreau said.
I don't regret the years I put into my work. Perhaps I regret the fact that I was not two men, one who could live a full life apart from writing; and one who lived in art, exploring all he had to experience and know how to make his work right; yet not regretting that he had put his life into the art of perfecting the work.

On her short story collection Close Range: Wyoming Stories in “An Interview with Annie Proulx” https://www.missourireview.com/article/an-interview-with-annie-proulx/ in The Missouri Review (1999 Mar 1)
Personal life and writing career

On how she compares short story writing to novel writing in “An Interview with Tracy Chevalier” https://fictionwritersreview.com/interview/an-interview-with-tracy-chevalier/ in Fiction Writers Review (2019 Sep 23)