  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]
