I see the above option mentions the use of a Custom Sysimage, but it’s not which custom sysimage it is using.
Using the workspace settings in VScode there is no option for customer sysimage. So I assume it’s not possible at the moment.
Also using a custom image seems to make Alt-Enter no work as a shortcut in VSCode.
I just realized the doc says that Julia in VS Code uses the image per the active environment here: Compiling Sysimages · Julia in VS Code
So that solves the mystery. I will keep this post up as I think this will make it more googlable.