Coming into EU from US the typical drill is that you do not see your baggage at your first point of entry into the EU, but only at your final EU destination. But you do generally go through some Passport checks at this first point of entry. So don't know why PAX was unable to get his bag checked to his final destination (especially if OneWorld all the way).
Perhaps there are some security concerns about PTY so that Spain wants to inspect bags immediately upon entry and before putting them on another flight?