Well, you learn something every day!

According to Wikipedia:

"Spanish territory in North Africa neighbouring Morocco comprises five enclaves on the Mediterranean coast: Ceuta, Melilla, Peñón de Vélez de la Gomera, Peñón de Alhucemas, the Chafarinas islands, and the disputed islet Perejil. Off the Atlantic coast the Canary Islands belong to Spain, whereas Madeira to the north is Portuguese. To the north, Morocco is bordered by the Strait of Gibraltar, where international shipping has unimpeded transit passage between the Atlantic and Mediterranean."

So I guess you can be in Spain, and in Africa!

Yes!    Just found that. (While you were typing.  ;-)
Spain indeed shows up as a country in Africa. Here's a graph of border connections for countries in Africa.
The geo data and the graph functions are a lot of fun.