There are no active searches for an underground sub pen on Fuerteventura that I'm aware of. It could potentially exist. But most likely doesn't.
Gustav Winter leased the entire Jandia peninsula from Spain, brought in German workers, ran experiments for the Third Reich, and kicked out the local inhabitants by declaring the area a military zone. There is no telling what he was doing out there.
But if there were a sub pen, it would most likely be accessible through or near the Villa Winter and would have been built into a pre-existing lava tube.
*EDIT*
Speaking of which, there is one spot at the villa which I think warrants more attention.
This could just be a cellar. Or possibly an entrance. Or both.