We investigate the possibility of using the ratio between the 2-10 keV flux and the [Ne V]3426 emission line flux (X/NeV) as a diagnostic diagram to discover heavily obscured, possibly Compton-Thick Active Galactic Nuclei (AGN) up to z~1.5. First, we calibrate a relation between X/NeV and the cold absorbing column density N_H using a sample of 74 bright, nearby Seyferts with both X-ray and [Ne V] data available in the literature. Similarly to what is found for the X-ray to [O III]5007 flux ratio (X/OIII), we found that the X/NeV ratio decreases towards large column densities. Essentially all local Seyferts with X/NeV values below 15 are found to be Compton-Thick objects. Second, we apply this diagnostic diagram to different samples of distant obscured and unobscured QSOs in the SDSS: blue, unobscured, type-1 QSOs in the redshift range z=[0.1-1.5] show X/NeV values typical of unobscured Seyfert 1s in the local Universe. Conversely, SDSS type-2 QSOs at z~0.5 classified either as Compton-Thick or Compton-Thin on the basis of their X/OIII ratio, would have been mostly classified in the same way based on the X/NeV ratio. We apply the X/NeV diagnostic diagram to 9 SDSS obscured QSOs in the redshift range z=[0.85-1.31], selected by means of their prominent [Ne V]3426 line and observed with Chandra ACIS-S for 10ks each. Based on the X/NeV ratio, complemented by X-ray spectral analysis, 2 objects appear good Compton-Thick QSO candidates, 4 objects appear as Compton-Thin QSOs, while 3 have an ambiguous classification. When excluding from the sample broad lined QSOs with a red continuum and thus considering only genuine narrow-line objects, the efficiency in selecting Compton-Thick QSOs through the [Ne V] line is about 50% (with large errors, though), more similar to what is achieved with [O III] selection. [abridged] Comment: 17 pages, 8 figures. Accepted for publication in A&A.