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.
I've just found Keil Assistant
I'll give it a chance.