Well, it belongs to the US... and Alfonso XIII mades a deal with the US for asylum.
shameless plug to motivate me to finish
When the US collapses, the remaining Royalists rally to their king- who is hiding out in the US held town of Guantanamo- and settle in several surrounding villages. Several thousand determined souls rapidly flee to the side of their monarch, and a small 'State within a State' forms... the Principality of Guantanamo. The worse the War in Spain goes for the Republicans, the more who flee to the Principality. By war's end, over 25,000 have crammed themselves into the small freehold- including several squadrons of Polikarpov I-16 fighters (I think I gave them 3 squadrons of effectives and some spares.) and 5,000 ill-equipped soldiers.
With the major world-wide collapse of the mid-30's, the war ends a bit faster than historical- largely due to the collapse of the Soviet Union and their inability to continue to support the Republicans. Against the Kaiser's wishes, RK Hitler sends an 'expeditionary force' to chase down the fleeing Republican forces... two squadrons of B+V 143's (my personal design) on a German military zep, followed by a ship containing the original 600 Fallschirmtruppe cadre and one battalion of Wehrmacht regulars in disguise. With little support from home, their orders are to manage a landing in the Principality and kill the deposed King... with any further action being entirely optional, and indeed, possibly unnecessary.
Isolated and with little immediate support, the Royalists and Republican deserters prepare for their last stand; and trapped in the midst of it all, a lone Confederate Captain- fallen from grace and living on short rations- desperately tries to fend off the assault... and regain some measure of his lost honor.