We observe an enhanced spin polarization and reduction of surface sensitivity due to the intermediate unoccupied electronic states in spin-resolved two-photon photoemission (2PPE) from ultrathin ferromagnetic cobalt films. By comparison to one-photon photoemission (1PPE) measurements, we disentangle the 2PPE signals coming from the initial and intermediate electronic states and determine the influence of the unoccupied quantum-well states in the nonlinear two-photon transitions. Our results point out the importance of spin-dependent pathways in nonlinear photoemission and provide a possible mechanism of spin-filtering in optical transitions.