Register a schema handler to open links from GoConvey in Visual Studio Code. Works at least for Ubuntu 16.04.

install-goconvey-handler.sh

#!/usr/bin/env bash

cat <<EOF-HANDLER > /usr/bin/goconvey-handler
#!/usr/bin/env bash

request="\${1#*://}"             # Remove schema from url (goconvey://)
request="\${request#*?url=}"     # Remove open?url=
request="\${request#*://}"       # Remove file://
request="\${request//%2F//}"     # Replace %2F with /
request="\${request/&line=/:}"   # Replace &line= with :
request="\${request/&column=/:}" # Replace &column= with :

if [ -n "\${GOCONVEY_EDITOR}" ]; then
    \$GOCONVEY_EDITOR \$GOCONVEY_EDITOR_FLAGS "\$request"    # Launch specified goconvey editor
elif [ -n "\${EDITOR}" ]; then
    \$EDITOR \$GOCONVEY_EDITOR_FLAGS "\$request"             # Launch default editor
else
    code -g "\$request"                                    # Launch code as editor
fi
EOF-HANDLER

cat <<EOF-DESKTOP > /usr/share/applications/goconvey-handler.desktop
[Desktop Entry]
Name=GoConvey URL Handler
GenericName=Text Editor
Comment=Handle URL Scheme goconvey://
Exec=/usr/bin/goconvey-handler %u
Terminal=false
Type=Application
MimeType=x-scheme-handler/goconvey;
Icon=code
Categories=TextEditor;Development;Utility;
Name[en_US]=GoConvey URL handler
EOF-DESKTOP

chmod +x /usr/bin/goconvey-handler
update-desktop-database
xdg-mime default /usr/share/applications/goconvey-handler.desktop x-scheme-handler/goconvey

This script installs a custom schema handler in Ubuntu that handles the links in GoConvey's web GUI.
It uses your default editor if the environment variable EDITOR is set.
If you like to use a separate editor just for goconvey links, you can set GOCONVEY_EDITOR.
Some editor need extra flags to handle filenames with line number. These flags can be set in GOCONVEY_EDITOR_FLAGS.
If no editor environment variables are set it defaults to Visual Studio Code.

This script is tested on Ubuntu 16.04 with Unity.