Setting up a custom command in WinSCP to achieve this.

Preparation
VS Code is able to access the remote host via SSH. WinSCP is able to access the remote host via SFTP.

Setup a Custom Command in WinSCP
In WinSCP's 'Preference' dialogue, navigate to 'Command' panel showing command list and operations. Click on the 'Add...' button to call out the 'Add custom command' dialogue.
Fill in 'Description':

Fill in 'Custom command':

Check 'Local command'. Check 'Use remote files'. Confirm both dialogues by clicking 'OK' buttons.

Usage
Right click on a remote SFTP folder to call out the context menu. Select in the menu 'File Custom Commands', 'VS Code' to have the remote folder opened in the VS Code. The custome command can also be accessed via a hotkey or the toolbar. (WinSCP V6)

See Can I map a remote directory as a network drive in Windows?

Hi, I would like to ask for this cool feature, I would like to be able to open folders in Visual Studio Code, it would help me a lot with my work, and most importantly it would be one of the few FTP programs that can do this, because there is nothing on Windows.