Good question. If you go to [http://pt.wikipedia.org/wiki/Espanha] which is the Portuguese wikipedia page for Spain, you can find many instances of both "da Espanha" and "de Espanha". It looks like it may be context dependent, but what that context is I have no idea.
Thank you for checking that for me. We'll have to wait for Paulenrique to give us the definitive answer. What would Duolingo Portuguese do without him? By the way, it looks like you are really forging ahead with your Portuguese - 46 days and counting :-)
Paulo is a huge help!! Duolingo should send him real golden owls. The android app makes it very easy to keep a streak going these days. Can't say I'm forging ahead at the moment though, the crazy tenses at the end of the tree are making the progress quite slow.
I think your link gives the answer: at the top of the wikipedia page it says "Espanha ... oficialmente Reino de (português europeu) ou da (português brasileiro) Espanha". So in Brazilian Portuguese "da Espanha" is correct.