Oh… It seems that it will be so complicated to get it working. VSCode will require an Internet to download dependent packages, then packages depends on own tools (Microsoft C/C++ extension). Also, PlatformIO Core is written in Python and depends on a few public packages from PyPi registry. Finally, you will need Internet to create PIO Account and activate it to do debugging.
I’ll think on that how to resolve this issue in the near future. Sorry 