http://www.bbc.com/news/world-europe-40091685 (http://www.bbc.com/news/world-europe-40091685)
National Geographic channel History 2 featured series "Hunting Hitler". They have mentioned Las Palmas (city), Tenerife and Fuerteventura as possible "resting" spots for Nazis on their way to South America.
Looking at Winter Villa story, to me it just looks like another expat who wanted to have better quality of life and so organised financing to have an airstrip, as the billionaires do these days, good electricity supply. The photo of the old fashioned electricity "switch" board is not that unusual for that size of the house. Old small (1bed) apartments would have had on average 4 of those "ceramic" thingy-bobs screwed in. This is an equivalent of todays squareish looking switches and not that unusual for 1930s.
On the note of caves etc, if I had big piece of land where some natural features occur, such as caves, I would also think of their alternative uses, in particular if I had money to throw at it.
Yet another conspiracy theory and smoke-pipe dreams......
.... great tourist attraction if can give a hint of a reliable fact!