I'm not sure about the specific instance of vscode. Since it's a gui app, I don't think you can run it inside of wsl. You can use a plugin to connect to wsl, but I don't think that's quite the same thing, and I wouldn't expect it would allow clipboard sharing.

The general point is right though. This is an issue with any terminal program that either doesn't allow selection of text, or has a system for selection of text that's separate to that of the terminal emulator.