Although I avoid shows like the plague I would not expect to hear english dialogue in the shows. If at all, maybe Terra Mitica could mix in some english for the tourists. But WBMW is not really catering to foreign tourists.
Even Port Aventura, which has many english visitors, has its shows in spanish only.
But hey, Its a theme-park stunt show! What could they say that you couldn“t make up by just watching?! ;)