It seems like with the importance of Gibralter, Spain would have been a target for both Allies and Axis. Maps I have seen show it as an Axis-occupied region, but the Allies never invaded or drove the Bundeswehr out, as far as I know.
Pinging /u/tobbinator and /u/domini_canes. Their focus is more on the Spanish Civil War (with /u/domini_canes focusing more on the Catholic Church), but they might have some insight for you as WWII followed so closely on the heels of the Spanish Civil War.
Maps I have seen show it as an Axis-occupied region, but the Allies never invaded or drove the Bundeswehr out, as far as I know.
A few small corrections:
Spain was never occupied by the Axis. The Bundeswehr is not the same as the Wehrmacht. Bundeswehr: Federal Republic of Germany (after WWII).