Sergio Leone, whose films (the Dollars trilogy and Once Upon A Time In The West...) set off the Spaghetti Western wave but represent an entirely different quality than the hundreds of follow-on attempts, was the one who chose Spain. (Later on, he also got to film some takes in Monument Valley.) All the "Mexican" extras were in fact Andalusians.

(BTW, Leone reportedly, his music composer Ennio Morricone definitely disliked the "Spaghetti Western" moniker.)

_{*Lunatic*, n.
One whose delusions are out of fashion.}