I am no doctor, but my understanding is that covering your mouth when you cough simply provides psychological protection (just like those paper toilet seat covers). Even if you assume that the cough was due to a contagious disease, the odds of a "germ" exiting his mouth and landing on some surface and then making its way into your body are very small.

With that said, it is still rude and I think it is perfectly acceptable to (politely) ask him to cover his mouth, or offer a handkerchief if you have one.