No way to change MAD-SSG to an open sector is there? (Probably not)

If you have a passport that will get you into Spain, then you are probably fine. Use your second passport pretension if you have to. Try to get your bags short checked to MAD.

If you have a passport that doesn't guarantee entry into Spain, it may be more difficult. You might be better off being honest and saying you're dropping the sector but you have an alternative onward flight.

Not sure I want to give any firm advice.