I know this may be a long shot, but are there any "American" bars that would do anything for the 4th in Madrid
You might try the Hard Rock Cafe in Madrid.
Wasn't the first Hard Rock located in London?
Yes Michael. It was started in London in 1971. First location was near Hyde Park Corner.
Curious if you found anything. In my experience, only places near U.S. Armed Forces bases are likely to have any events for the 4th.
No, not only places near military bases. There are Americans living abroad in many places, and they will often get together to celebrate holidays. We came across an nice Fourth of July barbecue in an Oslo park one year.
I meant something in the way of "official" events with fireworks and organized parties and the like, not just expats getting together for a picnic. (Which is what we did) There's a bunch of American-themed restaurants around here but none of them did anything special for the 4th.
For anyone looking at this for next year, a good place to start is the US Embassy or Consulate website of the city in question. For instance, the US Embassy in Madrid had a link to this: http://photos.state.gov/libraries/spain/164311/home/USEmbassy4thofJuly2012.pdf It doesn't say that the event is open to the public, but the fireworks would still be visible, and I'm sure there was more information on the website before the 4th. Also, I know that New York has various events for Bastille Day, because it has a large French community and various institutions (a French consulate, an Alliance Francaise, a Lycee Francaise, etc). But most other American cities don't have these things, and so probably don't do anything special. By analogy, I'll bet London and Paris have more celebrations of July 4th than smaller cities, due to their large population of USers.