It looks unusual, and I agree with you that it might be an example of the things to come. But I'd love to see an analysis of snowstorms in central Spain using extreme value theory. It might not be that infrequent. In EVT terms, the return level might not be more than a few decades.

Central Spain is quite cold. For example, when the International Brigades came to fight in the Civil War they were expecting a mild Winter, but they were shocked by pretty extreme temperatures. Luckily, everyone got prepared as next few years were even worse. In 1937, Teruel Battle was consistently fought below -20 C.

Aside from 1937, 1956 and 1971 saw pretty intense snowstorms. The 1971 one was much worse than the current storm according to the data I've seen.

Is this related to the polar vortex collapse discussed just the other day, https://news.ycombinator.com/item?id=25713704

This isn't related to the polar vortex splitting, this is the polar vortex that has split. This is a part of the cold air mass that normally sits on the North Pole, but on top of Spain. Normally the cold arctic air spins around the north pole stably because it is cold and low pressure in the northern hemisphere winter. Warm air intruded into it, destabilized it, and it spun out into lower latitudes with corresponding intrusions of equally hot temperatures elsewhere (Tibetan plateau https://twitter.com/extremetemps/status/1348693028022738951/...)