How to make an aluminumoxide coating on an electrode?
Yes, it is definitely possible, but also relatively difficult as compared to electroplating zinc onto another metal.

It is a significantly important industrial process. Although aluminium itself is reactive, it develops an impervious oxide layer that quite much renders it unreactive.


  However, comparatively larger negative standard electrode potential of Al/Al(III) couple (− 1.67 V vs. SHE) precludes its deposition from the aqueous baths.


So it is usually considered impossible in aqueous (water-based) solution so is conducted in either organic liquids or fused (molten) state.

Fused: Usually a bath of an eutectic mixture of $\ce{LiBr, KBr}$ &amp; $\ce{CsBr}$ is taken along with molten $\ce{AlBr3}$ (melts at about 94-98°C). A concentration of $80\%$ (by wt.) of $\ce{AlBr3}$ is reported to give a shiny finish.

Source $1$ reports that a satisfactory result was obtained with constant current of $1-3$ $\pu{A}$ passed for $1$ hour.

Non-aqueous solution: 

From Source $2$ (emphasis mine)


  ..the commercial processes for electroplating of Al are based on organic solvents such as SIGAL (Siemens-Galvano-Aluminium) and REAL (Room-temperature Electroplated Aluminium) processes. In the SIGAL process which was developed in Siemens laboratories Al is electrodeposited at 100 °C from alkylaluminium compounds in toluene. In the REAL process which was developed in the laboratories of Philips $\ce{Al}$ is deposited at room temperature from $\ce{AlCl3}$ and $\ce{LiAlH4}$ in tetrahydrofurane.


The process must be conducted avoiding any traces of water, or the water would be electolysed first, leading to observable evolution of gas.

TL;DR: Electroplating aluminium is not something I would recommend trying at home.



References:


Aluminum electroplating on steel from a fused bromide electrolyte, P. K. Tripathy et al, Surf. Coat. Tech., Vol. 258, 15 Nov. 2014, 652-663. DOI:10.1016/j.surfcoat.2014.08.021
Electroplating of mild steel by aluminium in a first generation ionic liquid: A green alternative to commercial Al-plating in organic solvents, S. Zein El Abedin et al, Surf. Coat. Tech., Vol. 201, Issues 3–4, 5 Oct. 2006, 1352-1356. DOI:10.1016/j.surfcoat.2006.01.065