  We present IRAM 30~m Telescope observations of the CO(1-0) and CO(2-1)
emission lines in a sample of eight Cepheid variable stars. The CO(1-0) line is
detected in four of the eight targets at a signal-to-noise of $>$3.5 confirming
the presence of CO in Cepheid atmospheres. Two sources show strong absorption
in both CO lines; this is likely related to contamination by cold molecular gas
clouds along or close to the line of sight. The remaining two targets showed no
strong features related to either CO line. These detections represent the first
direct evidence for the presence of CO in Cepheid atmospheres, providing strong
evidence for the mechanism proposed to explain the observed mid-infrared colour
variation seen in Cepheids. Further, these detections support the proposed use
of mid-IR colour as a robust photometric metallicity indicator for Cepheids,
potentially leading to the elimination of metallicity systematics from the
$H_0$ error budget. We discuss the future studies needed in this area and how
our observations can be used to inform optimal observing strategies for
large-scale dedicated studies.
