During the recent COVID-19 pandemics, many models were developed to predict the number of new infections. After almost a year, models had also the challenge to include information about the waning effect of vaccines and by infection, and also how this effect start to disappear. We present a deep learning-based approach to predict the number of daily COVID-19 cases in 30 countries, considering the non-pharmaceutical interventions (NPIs) applied in those countries and including vaccination data of the most used vaccines. We empirically validate the proposed approach for 4 months between January and April 2021, once vaccination was available and applied to the population and the COVID-19 variants were closer to the one considered for developing the vaccines. With the predictions of new cases, we can prescribe NPIs plans that present the best trade-off between the expected number of COVID-19 cases and the social and economic cost of applying such interventions. Whereas, mathematical models which include the effect of vaccines in the spread of the SARS-COV-2 pandemic are available, to the best of our knowledge we are the first to propose a data driven method based on recurrent neural networks that considers the waning effect of the immunization acquired either by vaccine administration or by recovering from the illness. This work contributes with an accurate, scalable, data-driven approach to modeling the pandemic curves of cases when vaccination data is available.