I know saying "lisp" isn't the appropriate term but it's the best way of describing it. Spain is the only Spanish-speaking country that speaks Castilian, which is the Spanish spoken with what sounds like a lisp. Was it something they developed or something they always had?
This is a question more suited for r/linguistics. In any case, you may be referring to the θ phoneme used in certain parts of Spain.
There is no conclusive explanation as to why this is used there or precisely how and when it arose. What we do know is that it is not a lisp (which means to mispronounce the s sound—Castilians have no problem pronouncing this sound). Simply put, hundreds of years ago Castilian had more sounds than today, two of which (dz and ts) are thought to have merged and developed into the modern θ sound. (Notably, sounds are always in a state of flux in natural spoken language, which can bring about things like the Great Vowel Shift). Spanish in the Americas has been greatly influenced by dialects that do not have this θ sound, hence it is not found there.
Interestingly, many people do not think about the fact that English has this phoneme (as well as Icelandic, old Germanic languages, Greek, Cornish, Welsh and many other languages).