Investigations of H$_2$O maser galaxies at X-ray energies reveal that most 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 ($N_{rm H} > 10^{23}$ cm$^{-2}$), including Compton-thick (CT) sources. All the galaxies in the sample were already searched for 22 GHz water maser emission in previous surveys. With the goal of providing a detection or a stringent upper limit on the H$_2$O luminosity, we re-observed some of the non-detected sources with the Green Bank Telescope. A new luminous H$_2$O maser ($L_{rm H2O} sim 200,$L$_odot$) 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 vs. disc), we recently observed the radio continuum emission in IRAS 15480-0344 with the European VLBI network (EVN) at 1.7 and 5.0 GHz. With the newly discovered megamaser in IRAS 15480-0344 revealing a narrow ($sim$0.6 km s$^{-1}$) and a broad ($sim$90 km s$^{-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. [abridged]