Because you use "An" if the following starts with a vowel sound, and "SPA" (spoken as the individual letters) does.
(EDIT: fell for a false friend, fixed)
Perhaps it's a culture thing. I am from The Netherlands and I have never heard someone say es-pea-ay; everyone I know pronounces it as "spa". Conference talks in both Dutch and English all pronounce it is as "spa" as well, even native english speakers
I read this comment and thought about it a lot. I don't think that's the rule. For example, US abbreviating United States. Nobody reads it as "us", even though that's a commonly used word.
