The stock footage of "Madrid" actually shows Buda Castle in Budapest, Hungary.
The cops at the Madrid museum wear the uniform of Pamplona's local police.
The painting that Supergirl prevents from being stolen is Velazquez's "Old Woman Frying Eggs", which is not actually exhibited in Madrid but at the National Gallery of Scotland, in Edinburgh.
President Marsdin mentions that Dwight D. Eisenhower named Camp David after his son and grandson, who were both named David. It was actually named for his father and his grandson; his sons were named Doud and John.