Can I anodize an aluminum coating on steel to have better corrosion inhibition for the steel?
The aluminum oxide layer formed by anodizing will have substantially higher corrosion and abrasion resistance than non-anodized aluminum.  For most applications, simple Type II sulfuric acid anodizing is sufficient.  For maximum protection, Type III hard anodizing will yield a much thicker coating with substantially higher corrosion and abrasion resistance. If you require a thinner film, the older Type I chromic acid anodizing process may be used.  

If you plan to paint or dye the part, you will most likely need to stick to Type II sulfuric acid anodizing or Type I chromic acid anodizing.  Type III hard anodizing, depending upon the alloy, will result in a dark grey to an almost black finish, so dyes will not show. Paint adhesion is also an issue with Type III.   

See MIL-A-8625 for more complete information about the various types of aluminum anodizing.