The quote itself comes from a well known Monty Python sketch, in which a person being questioned incessantly says "I wasn't expecting a kind of Spanish Inquisition", at which point three inquisitors jump into the scene and declare "NOBODY expects the spanish inquisition!". That's really it, but that isn't a very historical answer.

A few years back, u/AlviseFalier addressed the issue of whether anybody actually could expect the Spanish Inquisition.