Pretend for a moment you're Joseph Stalin, leader of the mighty worker's paradise that is the USSR.
In Spain, there is a civil war going on. One side is an assortment of fascists, hyper-catholic (mind you, you are atheist as you're Joseph Stalin), traditionalists, and monarchists united under a rather right-wing banner. They could be potential allies to the Germans and Italians, which means Germany would be even stronger.
On the other hand is an assortment of Social Democrats, Socialists, Communists, Anarchists, and Centrists. They are considerably more secular (some are even anti-theist), are far more leftist, and many of them are loyal to the ideals of Stalinism and many talk of the day of Revolution.
That's it. It's far more advantageous to have a left-wing government in power than to have a catholic, fascist state that could ally with Germany and Italy.
Also, you still get experience that you can use to upgrade your units/edit your divisions with.