This is one of the statues that are in the door of the first building of Gran Vía, the long street that goes from Cibeles to Plaza España (Downtown Madrid).
I was really surprised when I first saw this group of sculptures in that door, the set of them shows like a woman in the top holding hands with two angels and below them, demons and children crying trying to get out of the walls.
I've been searching for some information about this building but I only found that it was built by the architect Eladio Laredo Carranza between 1916 and 1917.
I guess those sculptures may have some interesting hidden story...