If I'm picking the right building then looking down from Google maps it looks like it may have been a theatre or cinema.
I found in this site some indication about the building: they are in spanish, I try to translate. It's about at half page.CÍRCULO MERCANTIL E INDUSTRIALLa edificación forma parte del conjunto del Teatro Cervantes. Sus salones han sido sede de actividades culturales y literarias, exposiciones y clásicos bailes de carnaval y fin de año. Tiene una decoración interior de 1920.MERCANTILE AND INDUSTRIAL CLUBThe building is a part and connected to Cervantes Theatre. Its halls has been used for cultural and literary activities, exhibitions and classical balls during carnival and New Year parties. It has decorations inside, made in 1920.http://www.turismodealmeria.org/it3.htmAlmost at the bottom of the page there are also indication about the station.