We have obtained a spectrum of the Na D lines of the Seyfert galaxy Mrk 595 with a signal-to-noise ratio (S/N) of about 30. The importance of this sightline is that this galaxy lies in a direction close to the highest column densities of the Cohen high-velocity (HV) stream, and hence represents the best opportunity of detecting this stream in interstellar absorption, as previous searches towards stellar targets up to a distance of 600 pc have not been successful. The HI column density in the direction of this galaxy implies that the HV gas should be detectable in absorption in the Na D lines. No such detections are made (at the 3sigma level) and we consider possible explanations. Hence previous non-detections towards stars do not necessarily mean that the HV gas is more distant than the stars, and we emphasize that the distance of this high-velocity cloud (HVC), which is a key parameter to the understanding of the nature and origin of this feature, remains unknown and indeed may be difficult to establish.