Installing & Using Visual Studio Code for C++ ... - Part 3 - Windows + WSL + Graphical Apps Under WSL & the Conclusion
See also Part 1 and Part 2 of this series.
Now, the final complication -- that is running VSCode as graphical app in WSL.
Yes, this is possible, although not supported by Microsoft. Mainly because WSL implementation is not based on a kernel. See more about internal workings of WSL at Jessie Frazelle Blog (very nice and short explanation) or at Microsoft (e.g. https://blogs.msdn.microsoft.com/wsl/2016/04/22/windows-subsy