I succeeded in making vscode run jupyther notebooks and also make it understand julia language syntax.
(For those interested, I basically installed Python vscode extension + some small tweaks for syntax highlighting as suggested in Add configuration files for code highlighting · Issue #1620 · julia-vscode/julia-vscode · GitHub).
Warning: the whole procedure could become soon more straightforward pending some relevant PRs.
Everything works fine but input unicode characters. If type \alpha [tab] in a code cell, it completes, but it does not render the α.