They did warn us 
I give in. In a chat conversation with another bank, the employee said she had never heard of a statement a bank should deliver for a foreign customer in order to obtain an NIE number. So they won’t do that.
We are in Spain at the moment for a month, and I really wanted to get the papers organized on forehand. Probably I am too Dutch or too precise. We’ll see when we get here for a longer period.