Romería de San Isidro y Mercado Colono de Santa Elena Activity · Santa Elena, Sierra Morena, Jaén Image of Santa Elena, not of the place itself. Santa Elena holds the Romería de San Isidro on 12 May and the Mercado Colono on 8 December, evoking the town's origins as an Enlightenment-era New Settlement. 12 de mayo (Romería de San Isidro); 8 de diciembre (Mercado Colono) Photo: Draceane (CC BY-SA 4.0) What to see and do in Santa Elena