Possible Clues:

• Relating to Spain and Portugal
• Peninsula in Europe
• At home covering Stalin's henchman with man from Madrid
• Of Spain and Portugal
• European, i.e. Brian Cross
• African losing head for Spaniard
• The rain in Spain comes after I be there
• In Spain there in about there might be air back there
• Head off from part of Russia or Africa? Actually, from part of Western Europe
• European - Russian - leader went missing