In London you can visit the famous London Dungeon to hear about Jack the Ripper, the Great Plague, stand on trial, see actors play and tell of scary happenings and events in London and similar. Merlin Entertainment, the company behind London Dungeon, run similar Dungeons in several cities in Europe, for example in Hamburg and Amsterdam, but still there is still no Dungeon to visit in Madrid.
So this article is just about telling you that currently there is no such thing as Madrid Dungeon, but as soon as something happens and such a place will open, we will be the first to tell you!
Until then, visit Amsterdam Dungeon or London Dungeon instead!