I’m not sure that ethnically Spanish makes a tremendous amount of sense in this context. Latino or Hispanic people are marginalized ethnic minorities whose cultures can be appropriated by majorities. People who live in Spain are part of those majorities.
If we want to talk about ethnic heritage in Spain, we often talk about Catalonia, Basque country, Galicia, or Castilian people.
When crossing the border with France, is there a sudden change in ethnicity? I think most people would say no. Spain is a member of the EU and part of the majority culture of Europe.
I don’t know who this woman is, but she does seem silly to try to represent herself as being from Spain. But is it okay like in some sort of moral sense?
I don’t think there’s an answer to that question. It’s perfectly okay to observe that she’s being silly, as silly as an American perhaps representing themselves to be from London when they’re from Boston.
But is it very important? Meh.