*Let me state right away I am not any kind of engineer or expert on bridges haha.
I disagree about the cliffs. I've seen plans about possible suspension bridges spanning the strait, as well as building artificial islands that would act as support beams for the bridge. I don't know if these things were possible given the technology is the game's timespan (I would hope Paradox consults actual experts before putting the bridge in the game), but if it was possible to build, then a nation should have the ability to build it.
But I do agree with you that there are far more interesting, and more plausible, mega-projects out there! As other people have mentioned in this thread, there were so many other proposals and ideas throughout the world at this time that, to me, are more fascinating, and would bring more more attention to the that part of the globe. For example,
@gustavotoniato had some great ideas for Brazil; it would be so cool to see those in game.
I'd trade the Gibraltar Bridge mega-project in a heart beat if it meant other, less well-known projects get attention.