Madrid in Goya's time the city was occupied by the French army. In May of 1808 the people rebelled (called the Dos de Mayo Uprising) after the French attempted to move some members of the Royal family to Bayonne.
Goya painted this not as an actual representation of the rebellion but an allegory, there is a woman who is obviously of the upper classes reclining backwards without a care in the world and yet at her feet there is a shield, a symbol of the unrest in the city. Goya would use allegory paintings like many other artists to make statements on the world around them and the times they lived in, and they would mean much more to a person who viewed them at the time the artist lived than they do to us today. Not that that means we cannot enjoy Goys Allegory of the City of Madrid for what it is, a beautiful example of his work.