I am from Barcelona, Spain, and I have visited many western european countries riding my bike.
If you travel by Western Europe, it is compulsory to use a helmet according to european safety homologation specifications. This means a wide range of helmet shapes and coverings. Anyway the helmet it seems you wear is allowed by spanish laws.
I don't know what exactly happens if you are an US rider in Spain and you wear a helmet bought in your country because this is a very unusual kind of tourist! Anyway it is very difficult that our police asks anyone to see if the helmet has a label of homologation or not. A clean and good-looking helmet, I mean...
I case of doubt, wear helmet.