Aims. Investigations of H₂O maser galaxies at X-ray energies reveal that most active galactic nuclei (AGN) associated with water masers are characterized by high levels of absorption. With the aim of finding new maser sources for possible interferometric follow-ups, we have searched for water maser emission in a well-defined sample of heavily absorbed AGN (N_H > 10²³ cm⁻²), including Compton-thick (CT) sources. Methods. Previous surveys already searched for 22 GHz water maser emission in all the galaxies in this sample. With the goal of providing a detection or a stringent upper limit on the H₂O luminosity, we reobserved some of the non-detected sources with the Green Bank Telescope. A new luminous H₂O maser (L_H2O ∼ 200 L_⊙) was detected in the mid-IR-bright Seyfert 2 galaxy IRAS 15480−0344 and then followed-up with the Very Long Baseline Array. In order to shed light on the origin of the maser (jet, outflow, or disk), we recently observed the radio continuum emission in IRAS 15480-0344 with the European VLBI network (EVN) at 1.7 and 5.0 GHz. Results. With the newly discovered megamaser in IRAS 15480−0344 revealing a narrow (∼0.6 km s⁻¹) and a broad (∼90 km s⁻¹) component, the maser detection rate of the CT AGN sample is 50% (18/36), which is one of the highest ever found in maser surveys. The EVN maps show two bright sources (labeled SW and NE) in the nuclear region of IRAS 15480−0344, which we interpret as jet knots tracing regions where the radio plasma impacts dense molecular clouds. The narrow maser feature is approximately at the center of the imaginary line connecting the two continuum sources, likely pinpointing the core, and might be associated with the accretion disk or a nuclear outflow. The location of the broad maser feature, instead, coincides with source NE, suggesting that the maser emission might be produced by a jet-cloud interaction, as it was proposed for NGC 1068 and Mrk 348.