Not really although Spain remained neutral in WWII it was Under Franco who
was a Fascist dictator who was aided to power by the Nazis. He would have
been able to have had contact with Nazi diplomats and even members of the
Nazi leadership. Given at the time the British Empire still occupied
somewhere in the region of a third of the World's surface and I'm sure he
would have even been welcome in the US he didn't have to go live in Spain if
he was looking for somewhere warm and to be able to do a bit of Yachting.
Spain OTOH would have been the ideal place to go into exile awaiting the
Nazi victory and his reinstallation as King

service men fled also to spain ,those were not nazi  lovers...btw,he went to portugal after spain.
it was only logical i think to go to spain,he did not want to go back to england so it was  the quickest and most convenient country to go.
and virtually the only country to go without meeting germans....
and he left for bermuda ,so why would he do that?
and did he had really the plans for dunkirk?
why did such person have these plans?
he was allready outcast in britain.
very unlikely,it's giving the plans of invading iraq to charlie sheen...