Why? He is a Basque, not the closest ties with Madrid, in fact generations of whom would consider themselves separate to the Spanish, certainly not as closely tied to it, particularly Franco's city & club.
Aye, but just because you're born in the Basque region, doesn't automatically mean you're anti Spain, and given Alonso was a Spanish international, it seems that there was no such issue.
Didn't he live in Barcelona for a while, when he was younger, or have I made that up?