The thermoelectric figures of merit of pristine two-dimensional materials are predicted to be significantly less than unity, making them uncompetitive as thermoelectric materials. Here we elucidate a new strategy that overcomes this limitation by creating multi-layer nanoribbons of two different materials and allowing thermal and electrical currents to flow perpendicular to their planes. To demonstrate this enhancement of thermoelectric efficiency ZT, we analyse the thermoelectric performance of monolayer molybdenum disulphide (MoS2) sandwiched between two graphene monolayers and demonstrate that the cross-plane (CP) ZT is significantly enhanced compared with the pristine parent materials. For the parent monolayer of MoS2, we find that ZT can be as high as approximately 0.3, whereas monolayer graphene has a negligibly small ZT. In contrast for the graphene/MoS2/graphene heterostructure, we find that the CP ZT can be as large as 2.8. One contribution to this enhancement is a reduction of the thermal conductance of the van der Waals heterostructure compared with the parent materials, caused by a combination of boundary scattering at the MoS2/graphene interface which suppresses the phonons transmission and the lower Debye frequency of monolayer MoS2, which filters phonons from the monolayer graphene. A second contribution is an increase in the electrical conductance and Seebeck coefficient associated with molybdenum atoms at the edges of the nanoribbons.