Jeff
I had a play around with this last year.
It involved creating a VS Code build task, which in turn ran a VBScript (.vbs) script. The script took the .PRG filename as an argument and created a VFP COM object, then told that to compile the .PRG.
Given the above and the Visual FoxPro syntax highlighting plugin for VS Code, it worked well enough for individual files. However it didn't help with code in visual elements like form classes and that's the show-stopper with trying to use external editors with VFP.