Rather than a question, this is a simple trick I found myself that might be useful for the whole community. I couldn’t find this information anywhere posted, hence sharing it here.
It is actually possible to run a jupyter notebook inside vscode. With the Python language vscode extension, you will be able to create new Jupyter notebooks inside vscode. Once a new notebook is created you can go and change the kernel to Julia. Now in the left bottom of your vscode window, you will see option to change the Interpreter. Click on it and point it to your julia.exe file.
You are good to go!
If you know better workarounds, please share it here.
PS: I really wish I could run Pluto notebooks inside vscode