In the bustling center of Madrid, two blocks from Plaza de España and the Gran Vía thoroughfare, there’s a French-style mansion called Liria Palace that contains the finest private art collection in Spain. Its silk walls drip with Goyas, Velázquezes, and Titians, and its library guards a first-edition Don Quixote and the handwritten diaries of Christopher Columbus. Yet you could visit Madrid a dozen times and never hear so much as a murmur about...