By measuring the Josephson Plasma Resonance, we have probed the influence of an in-plane magnetic field on the pancake vortex correlations along the c-axis in heavily underdoped Bi2Sr2CaCu2O8+d (Tc = 72.4 +/- 0.6 K) single crystals both in the vortex liquid and in the vortex solid phase. Whereas the in-plane field enhances the interlayer phase coherence in the liquid state close to the melting line, it slightly depresses it in the solid state. This is interpreted as the result of an attractive force between pancake vortices and Josephson vortices, apparently also present in the vortex liquid state. The results unveil a boundary between a correlated vortex liquid in which pancakes adapt to Josephson vortices, and the usual homogeneous liquid.

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