Well, there is only one thing that is for sure: Be consistent.
Other than that, it really depends. If no specific style is prescribed, ask yourself the question: Does the reader benefit from visually marking the foreign words? This shall be your decision point, and we can't know the answer without seeing the manuscript.
Second thing is, how shall these be marked; there are several options:
We encoded the list of the National Classification of Occupations (Clasificación Nacional de Ocupaciones, CNO).
We encoded the list of the National Classification of Occupations (ES: Clasificación Nacional de Ocupaciones, abbr. CNO).
We encoded the list of the National Classification of Occupations (“Clasificación Nacional de Ocupaciones” or shortly “CNO” in Spanish).
Which one you choose is up to you. You probably don't need to specify the language if all your foreign terms come from a single language. And so on. The style is mostly up to your or the author's preferences, just remeber: Be consistent.