Zephyr Workbench, a VSCode extension to manage Zephyr on STM32.
It enables users to easily create, develop, and debug Zephyr applications.
Main features:
Install host dependencies.
Import toolchain and SDK.
Create, configure, build and manage apps.
Debug STM32.
You can directly download it from the VSCode marketplace
For more details, visit the Zephyr Workbench
I suggest to try create a GDB Hardware debug configuration then configure it to communicate with JLink GDB server (should be started manually, or using external program config from eclipse)