San Sebastián->Bilbao->Madrid?

I would not daytrip to Bilbao, you're looking at ~2 hours each way, and the area is easily worth a couple nights with the Guggenheim, Pinxtos bars, old town, even the maritime museum I found worthwhile.

Bilbao also probably makes the most sense to fly into, but no direct flights, likely a change in Barcelona or Madrid.

For both, train connections are lengthy, high speed rail has not quite gotten to that part of Spain. I suppose Bilbao has better rail connections (4-5 hours, direct) from/to Madrid; from San Sebastian, easiest to transit through Zaragoza, and 5-6 hours.

Overall though, if your itinerary is 2-3 nights in the region and you want to hit both cities, then re-plan, you either need more nights (5 minimum?) or spend your time in Madrid and area.

How many nights do you have for the Basque part of the trip?

Donostia-San Sebastian does not have that much to see and the pintxos (not pinxtos, think that the "tx" is pronounced as in "Czech", more or less. There´s no "ch" letters in Basque, so we use "tx" instead) scene is very similar in Bilbao and in practically all towns in the Basque Country. Bilbao is not only the Guggenheim, it´s also its beautiful architecture, its large lively old quarter, the funicular train, Azkuna Zentroa and its amazing columns. Bilbao is the largest city in the Basque Country (350.000h vs 185.000 in Donostia-San Sebastian) and there are easiest connections than to D-SS. IN any case, a day trip (I´d no doubt take the bus) takes just 1h15min drive each way.

Thank you all for your opinions, your time and knowledge is appreciated!!

We will have enough time to spend nights in both cities and will plan to do so.

Volotea fly to Menorca in the summer season from both Bilbao and San Sebastian, Vueling also fly in seasonally from Bilbao. Ryanair also fly seasonally to Santiago de Compostela.