We present a study of Nernst and Seebeck coefficients of the heavy-fermion superconductor CeCoIn5. Below 18 K, concomitant with a field-dependent Seebeck coefficient, a large sublinear Nernst signal emerges with a magnitude drastically exceeding what is expected for a multiband Fermi-liquid metal. In the mixed state, in contrast with all other superconductors studied before, this signal overwhelms the one associated with the motion of superconducting vortices. The results point to a hitherto unknown source of transverse thermoelectricity in strongly interacting electrons.