As Uri Bader says in the comments, covering-space theory implies that this happens if and only if $\pi_1S$ is a normal subgroup of $\pi_1\Sigma$, where $\Sigma$ is some compact surface.
The cases of positive and zero curvature are easy, so we may as well assume that $S$ and $\Sigma$ are of constant negative curvature. In this case, a theorem of Greenberg places strong restrictions on normal subgroups of surface groups.
Theorem (Greenberg): If $H$ is a finitely generated, normal subgroup of the fundamental group of a hyperbolic surface $\Sigma$, then $H$ is either trivial or of finite index
In particular, if $S$ is non-compact but not the hyperbolic plane, and $\pi_1S$ is finitely generated, then $S$ does not admit such a group action.