You never heard of it because only 100 copies were printed back in 1996. It was made to promote TM2 World Tour but I am not even sure how those 100 copies were distributed. It's considered canon as it was meant to be an origin story for Calypso.
Someone had posted the comic on TMA several years ago but then for whatever reason he decided to remove the images from here out of spite.
The comic later resurfaced online on the TM wikia. It wasn't until recently it was recognized by comic book websites.
http://comicvine.gamespot.com/twisted-metal-2-1-twisted-metal-2/4000-334104/Also, the writer for the TM2 comic is no amateur, folks. Jamie Delano was one of Alan Moore's torchbearers who worked on Hellblazer, John Constantine, and Animal Man. Even though DC published TM2 #1, it might as well have been a Vertigo title.
Personally, I'd love to see Scott Snyder work on a Twisted Metal comic. I loved his work on Batman, the way he wrote the Batman rogues, and think he'd do great things with Twisted Metal, in particular SweetTooth (who as you notice, doesn't actually appear in TM2 #1).
Hopefully if there is another Twisted Metal it'll have an accompanying comic series just like Injustice:Gods Among Us, Mortal Kombat X, etc.