I have no idea what the story is here. This guy is half-naked and carrying a violin. Usually a dog means it’s San Roque, but San Roque carries a staff with a gourd hanging on it, and doesn’t have these well-developed biceps. So I’m going to say that this guy just represents some young Madrileño gentleman of previous centuries who liked having fun and was popular with the ladies.
In any case, he’s in a little square right off Plaza Mayor.