The Cantina Madrid is broken down into two sections; the restaurant and kitchen:
The main restaurant is not accessible, leaving only the restaurant's lobby area open to exploration.
The whole area is covered in gas until the several gas valves in the kitchen are shut off. As you approach the kitchen area, you will hear dialog between Dog and God, Dog has deliberately opened the valves and is going to ignite the gas and blow himself up in order to permanently silence "the angry voice" in his head.
There are two entrances, one is the entrance through the supply closet to the left of the restaurant's reservation desk. This entrance will not be accessible until the gas has been shut off. The other is from the casino floor via the emergency door, which is through the door behind the bar and up the stairs.