Even though you are in Luxembourg it should show a Spanish IP address, this is a very simple thing for you to do. I understand the point about unlimited data on your sim therefore you have no need to use wifi however you could have taken screenshot of what you see when you open the following website: whatismyipaddress.com
To address the Wifi point, I spend a lot of time at work where the Wifi is capped (cannot access many sites such as even youtube), therefore I always keep the Wifi setting off on my phone, given that I have unlimited mobile data anyways this has never been a problem for me.
For clarity, if you are currently in Luxembourg, can you use your phone with your regular Spanish sim and open a browser without using any sort of VPN and then take a screenshot of what you see when you visit this website:
https://www.whatismyip.comAccording to the screenshots you provided earlier, it should be showing a Spanish IP address because of EU regulations (even though most would have thought it would be a local Luxembourg IP address) but a screenshot can settle the issue.
Please find snip attached, I covered the IP for security - it shows I am in Spain.
