Hearts of Iron IV

Easiest way to do this if you have Man The Guns, turn OFF historical focuses and build a spy agency. Immediately put all your spies in UK and watch their focus tree, playing Spain however you want in the meantime. If you see them take "Reinforce the Empire", quit and start a new game, as they are going to retain their colonial holdings. If you see them take "Revisit Colonial Policy", then the achievement is guaranteed, and all you have to do is wait for them to hand Gibraltar over. Preferably, try to win the Spanish Civil War beforehand, otherwise there's a chance it'll go to the opposing side and you'll have to win the civil war before you can get the achievement.

If you'd rather a more challenging path/don't want to keep restarting the game, side either with the Nationalists under Franco ("Con Paquito") or the National Syndicalists ("Sin Paquito"), or the Republicans under the Stalinists ("The Anti-Fascist Worker's Revolution", followed by "The Stalinist Doctrine"). The former allows you to join the Axis, whilst the latter will immediately put you in the ComIntern at the end of the Spanish Civil War. Afterwards, get involved in WW2 against the Allies, bringing either the Germans (and by extension, the Italians) or the Soviets to assist you. Abuse your ally's numbers and/or naval superiority compared to you to capitulate the UK and take Gibraltar in the peace conference. Do NOT get involved against either the Axis or the USSR (depending on who you allied) unless you are confident you can win or Germany/Russia is losing and needs the help to survive. You can take other paths in the civil war if you wish, but these aren't guaranteed to lead to an alliance, and the Anarchists specifically are incapable of allying anyone, forcing you to do all the work.