Listed below are a few sources and other starting points for researching illustrated Spanish literature from the 19th and 20th centuries. While locating illustrated editions of novels or short stories is not easy, one strategy is to use WorldCat (via Melvyl, WorldCat.org, or WorldCat on FirstSearch) and search by a work or author name with the truncated term "ilustra*." You could also employ the same technique in the HathiTrust Digital Library.
Another approach is to research an illustrator. e.g.) Luis Bagaría, Antonio Carnicero, Arturo Mélida y Alinari, Apelles Mestres i Oñós, Eusebi Planas, etc.