Since the late 1950s countless large and sometimes legendary Hollywood films have been shot in or near Madrid. Samuel Bronston-produced blockbusters, Anthony Mann’s “The Fall of the Roman Empire” and Nicholas Ray’s “55 Days at Peking” partially shot near crag-strewn La Pedriza, 30 miles north of Madrid. Charlton Heston’s “El Cid” lensed in the castle...