The hole doped Fe-based superconductors Ba$_{1-x}$A$_x$Fe$_2$As$_2$ (where A=Na or K) show a particular rich phase diagram. It was observed that an intermediate re-entrant tetragonal phase forms within the orthorhombic antiferromagnetically-ordered stripe-type spin density wave state above the superconducting transition [S. Avci et al., Nature Comm. 5, 3845 (2014), A. E. B\"ohmer et al., arXiv:1412.7038v2]. A similar intermediate phase was reported to appear if pressure is applied to underdoped Ba$_{1-x}$K$_x$Fe$_2$As$_2$ [E. Hassinger et al., Phys. Rev. B 86, 140502(R) (2012)]. Here we report data of the electric resistivity, Hall effect, specific heat, and the thermoelectrical Nernst and Seebeck coefficients measured on a Ba$_{0.85}$K$_{0.15}$Fe$_2$As$_2$ single crystal under pressure up to 5.5 GPa. The data reveals a coexistence of the intermediate phase with filamentary superconductivity. The Nernst coefficient shows a large signature of nematic order that coincides with the stripe-type spin density wave state up to optimal pressure. In the pressure-induced intermediate phase the nematic order is removed, thus confirming that its nature is a re-entrant tetragonal phase.