Spectroscopic data of low-mass X-ray binaries (LMXB) can provide valuable information on supernova properties. In these systems the companion star is probably close enough to be polluted by some of the matter ejected during the supernova (SN) event of the progenitor of the compact object. We present high-resolution spectra, acquired with UES@WHT, of the LMXB Cygnus X-2. We derive the stellar parameters of the companion, taking into account any possible veiling from the accretion disk surrounding the NS. We have studied the chemical abundances, including α-elements and some Fe-peak elements to search for signatures of chemical anomalies that could have been imprinted on the secondary star in the SN event. We find a super-solar Fe content in the companion star, and an abundance enhancement in most of the studied elements. Our results suggest that the secondary star may have captured a significant amount of the ejected matter during the SN explosion. We explore different explosion models to explain these abundance anomalies.