MasteR
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I'll try again with Madrid; it also seems quite plausible. So far, starting from Madrid and going through the Golden Fleece, I've managed to connect it to Nephele, but the connection is tenuous, in a "one-to-many" style. I don't really like this option.
Added 6 minutes later
Madrid - Philip II - Order of the Golden Fleece - Golden Fleece - Nephele
Here's the connection itself. The transition from Philip to the order isn't very obvious; he's just one of many knights. That's why I don't like the connection. But there are many Spanish rulers among the knights of the order, so it's possible to make the connection through someone else.
Added 22 minutes later
Also, in this solution, there's still an inconsistency with the fact that the bear on the Madrid coat of arms isn't white
Added 6 minutes later
Madrid - Philip II - Order of the Golden Fleece - Golden Fleece - Nephele
Here's the connection itself. The transition from Philip to the order isn't very obvious; he's just one of many knights. That's why I don't like the connection. But there are many Spanish rulers among the knights of the order, so it's possible to make the connection through someone else.
Added 22 minutes later
Also, in this solution, there's still an inconsistency with the fact that the bear on the Madrid coat of arms isn't white