The BRST cohomology of the N = 2 supersymmetric Yang-Mills theory in four dimensions is discussed by making use of the twisted version of the N = 2 algebra. By the introduction of a set of suitable constant ghosts associated with the generators of N = 2, the quantization of the model can be done by taking into account both gauge invariance and supersymmetry. In particular, we show how the twisted N = 2 algebra can be used to obtain in a straightforward way the relevant cohomology classes. Moreover, we shall be able to establish a very useful relationship between the local gauge-invariant polynomial tr φ² and the complete N = 2 Yang-Mills action. This important relation can be considered as the first step towards a fully algebraic proof of the one-loop exactness of the N = 2 β-function.