Unfortunately VS Code doesn't have a built-in SSH client or terminal. In my case I typically use putty or MobaXterm as my go to SSH client in Windows 10.
As I started experimenting more with VS Code I found out that Code can work with add-ins like SSH FS to access remote file systems and edit directly. This is invaluable for editing files from a remote system.
However to run bash commands or IBM i system commands on a remote system still required putty or MobaXterm, until I found out that I can use open ssh from the command line terminal in VS Code. And I also found that Windows 10 now has a built-in SSH client and server which means I can initiate a remote SSH session from the Command Prompt or from the VS Code terminal Window.
This means when I am working remotely with an IBM i or Linux system I can now connect to an SSH file system with SSH FS and I can also issue commands in a terminal session as well. Too bad there's not a 5250 interface for VS Code.
Have fun with this and check out the following article link on using ssh in Windows https://www.howtogeek.com/336775/how-to-enable-and-use-windows-10s-built-in-ssh-commands/
Also check out this article on setting up to use VS Code with IBM i.