Elegant Terns (Thalasseus elegans) have been photographed in the Bay of Cádiz, Spain, just on the other side of the Straits (http://birdingthestrait.com/blog/elegant-tern-at-the-bay-of-cadiz/)
Its occurrence in Western Europe has been detailed in the Journal of Ornithology (Dufour P, Pons J-M, Collinson J M, Gernigon J, Dies J I, Sourrouille P & Crochet P-A. 2016. Multilocus barcoding confirms the occurrence of Elegant Terns in Western Europe. Journal of Ornithology. DOI: 10.1007/s10336-016-1380-0) and a superb article with many photos has just appeared in Birdguides (http://www.birdguides.com/webzine/article.asp?a=5856)
Watch out in Morocco where Royal and Lesser-crested Terns are regular: Elegant Tern may be overlooked.