Yes, the Canary Islands are included in EU roaming.
Here’s a detailed explanation:
The “Roam Like at Home” (RLAH) rules, which allow you to use your domestic mobile plan in other EU/EEA countries without extra roaming charges, apply to the European Union and also to the European Economic Area (EEA) and some special territories.
The Canary Islands are one of Spain’s Outermost Regions (OMR). Despite being geographically off the coast of Africa, they are politically and legally part of Spain and thus part of the European Union.
Therefore, EU mobile roaming regulations fully apply there. Your home EU mobile provider must treat usage in the Canary Islands the same as usage in mainland Spain or any other EU country (subject to your plan’s fair use policy).