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Haha... no, none of that at all. It's a very simple and small town on the seashore and with access to small mountains in the background. The only arena you'd find is the cockpit for cockfights and that's pretty small.

In the UK there are many towns 'paired' with cities from around Europe, I have never worked out why or if there is a reason for these connections and think not :)

Yes, these are paired cities or twin cities as they're called in France, and that's just a way to promote themselves in other countries. In the case of Ronda it dates a few centuries and I always thought it was because of the legend mentioned above. Seems like it is a legend or rumor afterall. The mayor and his councillors couldn't tell me the real story behind the name. Not that it matters much anyways.
Enjoy your vacation for sure ☺