True. One of the issue is the different gauges. This used to be avoided by variable-gauge Talgo cars, and now by high-speed trains (TGV) on standard gauge on the Spanish side. But AFAIK there are no sleeper high-speed trains, and I am not even sure those Talgo are still running (and they also were not sleepers when they did run). So even in the best cases there could be connections but no direct services. Also, there will be only 2 possible routes because of these pesky mountains.

There are several ways to work around that though, and I think this will happen in the reasonably near future.