The format in which you need € #,###.00, ,means that you are using the grouping separator.
You will then need DecimalFormatSymbolsto specify the grouping symbol and decimal character:
DecimalFormatSymbols symbols = new DecimalFormatSymbols();
symbols.setGroupingSeparator('\'');
symbols.setDecimalSeparator(',');
DecimalFormat decimalFormat = new DecimalFormat("€ #,###.00", symbols);
String prezzo = decimalFormat.format(number);
Result € 1'515,28