From the Super Mario Wiki, the Mario encyclopedia
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Madrid is the capital city of Spain. Alongside Athens, Marrakech, Mexico City, and Paris, it is one of the five cities in the DOS and Deluxe versions of Mario is Missing! that Luigi has to visit before he can fight Roy Koopa. The city has been attacked by a group of Koopa Troopas, resulting in various landmarks losing notable items: Guernica from the Prado Museum, a Matador's Cape from the Ventas Bullring, and a bronze Lion's Tail from the Palacio de las Cortes. A bounty is placed on the items' return, and Luigi sets out to return them. He does just that, fighting off Koopa Troopas and chatting with the locals, and once every item is brought back to its rightful spot, he leaves for Bowser's Castle.