Zinedine Zidane's men will spend the night from 10th, Sunday, to 11th January, Monday, in Pamplona. They travelled there to play the league match against Osasuna with a halo of controversy wrapped up in the process because of the club's discomfort with the management of LaLiga.
And they will travel directly to Malaga to play the Super Cup, as 'El Partidazo de COPE' noted. The reason to travel to Andalusia is that their Super Cup semi-final match against Athletic takes place at La Rosaleda in Malaga.
The other option that Real Madrid had on the table was to fly first to the Spanish capital to train at their training ground to, once ready, go to Malaga. The aforementioned source mentions in the previous paragraph that this ended up being ruled out. The second option was more operational.
You have to remember that this situation is because of storm Filomena. It hit Spain at the weekend, forced several matches to be postponed and changed the plans of Zidane's men.