There has been a few reports recently of peoples devices not working in Spain recently so pretty much all you can try is this:
Although you don't have to do you have a spend cap set because if you do it needs to be high enough to cover your stay.
That apart have you tried searching for other networks to see if your device will connect and then work ?
Also make sure this setting is set to Abroad:
Apple:
Settings > Mobile Service > SIM Applications > Make sure this is set to Abroad..
Android:
Sky Menu App or SIM toolkit > Roaming > Make sure this is set to Abroad.
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