We present a comprehensive study of the thermonuclear bursts and millihertz quasi-periodic oscillations (mHz QPOs) from the neutron star (NS) transient and 11 Hz X-ray pulsar IGR J17480-2446, located in the globular cluster Terzan 5. The increase in burst rate that we found during its 2010 outburst, when persistent luminosity rose from 0.1 to 0.5 times the Eddington limit, is in qualitative agreement with thermonuclear burning theory yet contrary to all previous observations of thermonuclear bursts. Thermonuclear bursts gradually evolved into a mHz QPO when the accretion rate increased, and vice versa. The mHz QPOs from IGR J17480-2446 resemble those previously observed in other accreting NSs, yet they feature lower frequencies (by a factor ~3) and occur when the persistent luminosity is higher (by a factor 4-25). We find four distinct bursting regimes and a steep (close to inverse cubic) decrease of the burst recurrence time with increasing persistent luminosity. We compare these findings to nuclear burning models and find evidence for a transition between the pure helium and mixed hydrogen/helium ignition regimes when the persistent luminosity was about 0.3 times the Eddington limit. We also point out important discrepancies between the observed bursts and theory, which predicts brighter and less frequent bursts, and suggest that an additional source of heat in the NS envelope is required to reconcile the observed and expected burst properties. We discuss the impact of NS magnetic field and spin on the expected nuclear burning regimes, in the context of this particular pulsar.