The cosmological missing baryons at z<1 most likely hide in the hot (T$gtrsim10^{5.5}$ K) phase of the Warm Hot Intergalactic Medium (WHIM). While the hot WHIM is hard to detect due to its high ionisation level, the warm (T$lesssim10^{5.5}$ K) phase of the WHIM has been very robustly detected in the FUV band. We adopted the assumption that the hot and warm WHIM phases are co-located and thus used the FUV-detected warm WHIM as a tracer for the cosmologically interesting hot WHIM. We utilised the assumption by performing an X-ray follow-up in the sight line of a blazar PKS 2155-304 at the redshifts where previous FUV measurements of OVI, SiIV and BLA absorption have indicated the existence of the warm WHIM. We looked for the OVII He$alpha$ and OVIII Ly$alpha$ absorption lines, the most likely hot WHIM tracers. Despite of the very large exposure time ($approx$ 1 Ms), the XMM-Newton/RGS1 data yielded no significant detection which corresponds to upper limits of $log{N({rm OVII})({rm cm}^{-2}))} le 14.5-15.2$ and $log{N({rm OVIII})({rm cm}^{-2}))} le 14.9-15.2$. An analysis of LETG/HRC data yielded consistent results. However, the LETG/ACIS data yielded a detection of an absorption line - like feature at $lambda approx$ 20 AA at simple one parameter uncertainty - based confidence level of 3.7 $sigma$, consistently with several earlier LETG/ACIS reports. Given the high statistical quality of the RGS1 data, the possibility of RGS1 accidentally missing the true line at $lambda sim$ 20 AA is very low, 0.006%. Neglecting this, the LETG/ACIS detection can be interpreted as Ly$alpha$ transition of OVIII at one of the redshifts (z$approx$ 0.054) of FUV-detected warm WHIM. Given the very convincing X-ray spectral evidence for and against the existence of the $lambda sim$ 20 AA feature, we cannot conclude whether or not it is a true astrophysical absorption line.
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