Spanish special-operations police, their faces covered with balaclavas and their weapons visible, attempted to force their way past Bolivian police at the Mexican Embassy in La Paz on Dec. 27. The effort failed but it left behind troubling questions about whether rogue interests inside the Spanish government are working with Mexico on behalf of former Bolivian officials, some of whom face criminal charges. Spanish elite police had already escorted the Spanish Embassy’s chargé d’affaires and its consul to the Mexican Embassy earlier that morning. When two more cars, carrying masked members of the same counterterrorism unit, showed up later and...