IMHO VScode is nowadays the best IDE to use for a developer.
As far as I know, no solution works out-of-the box to integrate and to use ARM/Keil toolchain in VScode.
IAR toolchain has such a kind of extensions (https://marketplace.visualstudio.com/items?itemName=pluyckx.iar-vsc).
Would you be interested in such a kind of extensions?
Maybe the community can develop it.
This IAR extension is not a good choose, and a separate extensions too, IMHO.A best solution is to use the cross-platform build system which knows about the IAR or KEIL toolchains and supported in desired IDEs.In this case you create a project in this build system, and then you can use the desired IDE, just opening this project (or to compile your project from the command line).As a build system you can use e.g. CMake or Qbs or something else. But as for me - Qbs is a best choose, because it is very simple to use, and has a lot of the bare-metal examples for different toolchains and architectures. In this case you can use such IDEs like VSCode and QtCreator.
PS: If you use Qbs && QtCreator, then you even can use the Keil's debugger (uVision debugger) instead of GDB, because the QtCreaor has extension for Keil debugger (at least for STM32, NXP and some other MCUs, using as st-link, j-link hardware debuggers).
I've just found Keil Assistant
I'll give it a chance.