A couple of weeks ago, I wrote about my experiences with PayPal Auto Return, and commented that I had the same problem with Redsýs. Redsýs to the rescue... they pointed out that if I entered in my account at https://canales.redsys.es/, click on "Comercios" (sorry, their control panel is in Spanish), Edit, and look for the option "Parámetros en las URLs" (parameters in the URLs). There, they have the option "SI,sin mostrar recibo Redsys" (yes, without showing Redsýs receipt). Choosing "SI,sin mostrar recibo Redsys" will get you Auto Return.
Their auto return IS a bit clumsy... it seems to go through 2 other pages first. However, the first time the client sees that the payment worked (or failed) is on my website instead of somewhere else. This ensures that my Google Tag Manager tags fire correctly.