You could try setting your APN to either one of the references given by Vodafone Espana at …
OR
I assume your RUT240 is on the latest firmware? And I assume you’ve already tested the SIM in a phone with data, sms and / or a call? And I assume you haven’t entered a custom APN for EE that the Vodafone SIM is trying to use? And I assume you have disabled the SIM PIN when you set it up on your phone? And I assume you know there is Vodafone coverage where you are? And lastly … I assume you haven’t sourced the SIM from some dodgey outlet … there’s plenty of them still about.
If you ever need another Spanish SIM that utilises the Vofafone network, then Vodafone have a cheaper alternative brand called Lowi which I use in the router.
You can purchase these online or at any Vodafone shop in Spain. It’s a monthly renewal and you can flex the data up and down from month to month. Although it’s a cheaper Vodafone option, bandwidth throttling shouldn’t be a problem as I can quite happily stream Full HD Video over a VPN … and I’m in a remote mountain area, with very basic mobile infrastructure.
Failing all of the above, try the solution found at the end of this post