I think it's the usual problem... :-)

The problem is LaTeX, not LyX.

Follow these steps:
Become root and run 'texconfig'
Go in the hyphenation->latex menu
Texconfig let you edit a configuration file : uncomment the line about spanish
language (I don't remember now, it's something like removing '#', but it's 
quite clear anyway).
Exit and save from the editor and from texconfig. After a long (automatic)
rebuilding you'll have full support of your language.
Start LyX (maybe it's better to reconfigure?).

That's all.

Hope this helps.

                                Emanuele

P.S.: WARNING: if you don't know how to use VI you'll find some problem, 
because usually it's the standard editor for texconfig. Read something 
about VI first. Again, don't try to modify the configuration file outside 
texconfig evironnement: latex won't know the changes... if you don't have 
a long rebuilding at the end of texconfig, you have canged nothing.

P.S.II : If my answer is correct (I hope), maybe it's better to put it in 
the FAQ... I found this question MANY MANY times.  ;-)

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