I'm attempting to do the same (or similar) but am stuck. I'd like to use VS Code as my python IDE as well as Jupyter Notebook env but can't figure out how to get it working. I have ArcGIS Desktop 10.7.1 and ArcGIS Pro 2.4 installed on my windows pc.
When I fire up VS Code, I'm only presented with what look to be the 10.7 Python interpreters and not the Pro one, which is what I need. How do I get VS Code to recognize the Pro (python 3) interpreter. I've tried putting in the path to the python exe into the settings.json file for the python.pythonpath setting (C:\Program Files\ArcGIS\Pro\bin\Python\envs\arcgispro-py3) but it doesn't like it and reverts back to the 10.7 path.
Does anyone have the right sauce to get this working?