Nearest would be
Aerodynamics in Malaga. They fly SEPs out of LEAX (Axarquia, about 30 kms east of Malaga town), twins out of LEMG. They have English speaking instructors.
Further afield, Fly-in-Spain at Jerez (LEJR), Google them.
There are no airfields on the western Costa del Sol closer to Marbella and I don't think there's any FTO/Club you could rent from in Gibraltar.