Thanks a lot to mredbishop and others for their insturctions posted here. This is just a recap of what they figured out.
This process was tested on WSL Ubuntu 18.04.
- Dowload the VcXsrv installer from https://sourceforge.net/projects/vcxsrv/
 - Install the software on Windows
 
On your linux terminal, put this in some file and run it:
sudo apt-get install libxss1 -y
sudo apt-get install libasound2 -y
cd ~
curl https://packages.microsoft.com/keys/microsoft.asc | gpg --dearmor > microsoft.gpg
sudo mv microsoft.gpg /etc/apt/trusted.gpg.d/microsoft.gpg
sudo sh -c 'echo "deb [arch=amd64] https://packages.microsoft.com/repos/vscode stable main" > /etc/apt/sources.list.d/vscode.list'
sudo apt-get update -y
sudo apt install code -y
sudo apt install code-insiders -y
echo \# X Server >> ~.bashrc
echo export LIBGL_ALWAYS_INDIRECT=1  >> ~.bashrc
echo export DISPLAY=127.0.0.1:0.0  >> ~.bashrc
echo sudo /etc/init.d/dbus start \&\> /dev/null  >> ~.bashrc
Now reload your profile by executing source ~/.bashrc (or source ~/.zshrc if using ZSH).
We now need to add a sudoers file to grant our user password-less root access to the dbus service.
- Run the following command:
 
sudo visudo -f /etc/sudoers.d/dbus- Then paste the following text inside the Nano editor that will launch (Replace 
your_usernamewith your linux username): 
your_username ALL = (root) NOPASSWD: /etc/init.d/dbus- Press 
CTRL+Oto save the file, then pressEnterto confirm. Finally, pressCTRL+Xto close the Nano editor. - Now close you Linux terminal and open a new one.
 
- On Windows launch the recently installed XLaunch app.
 - In the dialog, always choose Next and then Finish. NOTE: uncheck the Primary selection checkbox in the 3rd step otherwise everything you select in VS Code will also be copied in the clipboard.
 - Finally, on your linux terminal, navigate to your desired folder and run 
code .(orcode-insiders .) - VS Code for Linux should launch
 
If you use a 4K monitor, chances are your VS Code appears blurry. There is a workaround for this but, at least on my machine, it makes VS Code laggy and a bit unresponsive. Anyways, here it is:
On windows:
- Open the 
C:\Program Files\VcXsrvfolder. - Right click on the 
vcxserver.exefile and chooseProperties. - From the 
Compatibilitytab, click theChange hi DPI settingsbutton. - Turn on the 
Override high DPI scaling behaviourcheckbox and chooseApplicationin the dropdown menu just below. - Press 
OKand save. - Close VcXserver and re-launch it.
 
On Linux, add the following at the end of your .bashrc (or .zshrc if using ZSH):
export GDK_SCALE=2Note: to edit your bashrc file you can run nano ~/.bashrc (or nano ~/.zshrc if using ZSH).
Then reload the file by executing source ~/.bashrc (or source ~/.zshrc if using ZSH).