it started after I adjusted the pedal to make it higher, but I am not sure it is related. It squeaks only when I press the clutch all the way down, to the last 2 inch. The nosie seem to be coming from underneath. Could it be the master cylinder or something? Is it possible to apply some grease to it?

 

Make sure that when you tightened the lock nut that it did not put a twist in the end that attaches to the pedal. Chances are it is rubbing the sides where the pin goes through the pedal arm.
To put it another way, the u-shaped end that has the pin to attach to the pedal arm may be twisted and the sides of the U are rubbing the pedal arm when the pedal fully depressed.