Dug out my copy of Thomas to give this one a quick answer. The Vatican initially joined the rest of the international community in denouncing Nationalist excesses - mostly the persecution of the Basque clergy, but quickly took to ignoring Nationalist war crimes even when pressed to denounce them. In mid-1937 when a number of Basque bishops and priests directly affected by the Bombing of Guernica arrived in Rome to meet with the Pope, they were only met with the Secretary of State. When the topic of Guernica came up the Secretary simply told them 'The Church is persecuted in Barcelona', before showing them out.

It's also important to note that the Vatican was one of the first countries to recognise the Burgos government (Nationalists) as the only legitimate Spanish government. This took place on 28 August 1937, almost 2 years before the war ended, and despite the fact that most countries still recognised the Republic. If I'm not mistaken the only countries to have recognised the Burgos government before the Vatican were Italy and Germany in 1936.

Long opposed to the Republic, the Vatican was more than eager to see the the destruction of the anticlerical republican forces in Spain. if it hadn't been for Mateo Múgica (the Basque Bishop of Vitoria) the Vatican very well could have recognised the Burgos government earlier than it did.

Thomas H. (1986) The Spanish Civil War, 3rd edn, Hamish Hamilton, London