9 pages, 10 ps figures.-- Accepted by Mon. Not. Roy. Astron. Soc.We present the results of a long (~93 ksec) XMM-Newton observation of the bright BL-Lac object PKS 0548-322 (z=0.069). Our Reflection Grating Spectrometer (RGS) spectrum shows a single absorption feature at an observed wavelength lambda=23.33 A, which we interpret as OVI Ka absorption at z=0.058, i.e., ~3000 km/s from the background object. The observed equivalent width of the absorption line ~30 mA, coupled with the lack of the corresponding absorption edge in the EPIC pn data, implies an OVI column density ~ 2x10^{16} cm-2 and turbulence with a Doppler velocity parameter b>100 km/s. Within the limitations of our RGS spectrum, no OVII or OV Ka absorption are detected. Under the assumption of ionisation equilibrium by both collisions and the extragalactic background, this is only marginally consistent if the gas temperature is ~250,000 K, with significantly lower or higher values being excluded by our limits on OV or OVII. If confirmed, this would be the first X-ray detection of a large amount of intervening warm absorbing gas through OVI absorption. The existence of such a high column density absorber, much stronger than any previously detected one in OVI, would place stringent constraints on the large-scale distribution of baryonic gas in the Universe.XB, FJC and MTC acknowledge partial financial support by the Spanish Ministerio de Educación y Ciencia, under project ESP2003-00812. FP acknowledges support from NASA, under grant NAG5-7737.Peer reviewed