Med Cruise is not exactly the most well written module as to what happened with the NATO allies. Having the Spanish not support NATO, especially after getting nuked by the Russians in the exchange is not a very realistic depiction at all of a country that at the time still had a very significant history of opposition to the Soviets.
If anything I could see Spain splitting apart during the war with a renewed fight between the left who would support the Soviets and the right who would support NATO.
If anyone was seized by the French, Greeks and Italians it may have been Air Force, Naval and Army personnel who were unlucky enough to be in those nations when they actively went hostile - i.e. aircraft and naval crews who were there because they had to land for repairs or fuel or whatever.
However they may have just been interned instead of being POW's - especially those in France.
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