We have characterized the magnetization easy-axis of ultra-thin Co films (2-5 atomic layers, AL) grown on Ru(0001) when they are capped with a monolayer of Pd. The addition of a Pd monolayer turns the magnetization of 3 and 4 AL-thick Co films from an in-plane to an out-of-plane alignment, but not that of a 5 AL-thick film. These observations are explained in terms of an enhancement of the surface anisotropy. The exposure of the sample to hydrogen, CO or a combination of both gases does not overcome this effect.