The Caves of Nerja (Spanish: Cueva de Nerja) are a series of caverns close to the town of Nerja in the Province of Malaga, Málaga. Spain stretching for almost 5 (kilometres.3 1), mi the caverns are one Of'spain s major tourist. attractionshe Caves of Nerja (Spanish: Cueva de Nerja) are a series of caverns close to the town of Nerja in the Province of Malaga, Málaga. Spain stretching for almost 5 (kilometres.3 1), mi the caverns are one Of'spain s major tourist. Attractions concerts are regularly held in one of the, chambers which forms a natural. amphitheatre