In ancient times, the Celtiberian resistance at
Numancia has become a sort of legend or story demonstrating the toughness and freedom loving nature of Spaniards. Of course the reconquista adds to this legand and the resistance at Zaragoza in 1808 and 1809 is yet another example of a symbolic event of this nature. Even the Civil War on both sides tends to harken to it. I suppose this defensive, resilient mindset is already reflected in the Citadel building, but maybe you can keep it in mind as a theme
Some of the kookier aspects of Spanish Catholicism are probably quite fertile. Maybe you could have random events based on some of these stories, such as making the Virgin Mary appear in religious buildings, increasing their gold, happiness or culture output... a casual search of Wikipedia reveals, for example,
this legend from Segovia and
this one from Jaca.
Santiago (St James the Moorslayer) seems like the obvious choice for a heroic unit. There's a number of stories about him appearing to fight for Spain in different battles, he's a perfect archetype for the sort of crusader image Spain has.
If you're looking for something unique with him, think about the Calle de Santiago pilgrimage route which has existed since medieval times. Maybe he could be sacrificed to build his cathedral (the one in Santiago de Compostela), which would get a gold bonus for every city with your state religion? Alternatively, maybe winning battles with him could cause some mechanic like a new pilgrimage route building being constructed in the nearest city you own?
Also, Don Quixote! Tilting at windmills!
A more modern idea: Spanish Anarchism! It's not fiction of course but it was still a quasi-millenarian movement of mostly peasants, which probably has its own stories and such. Maybe an anarchist General Strike (the great myth of the anarchist movement) project has some civilisation-wide benefit whilst causing unhappiness in other civs...
This little Basque story might give you some inspiration for something, too.