Hi @EyalGonen,
Yes, I've done it. You can use the VS Code Docker extension to connect to your running container, and effectively ssh into the "machine" to view files and run code via a terminal (like running SAS in batch or from a command prompt). Here's a screen capture of my setup:
However, you won't be able to run programs by using the running man icon or the SAS Viya connection, as that setup requires the microservices and API connections -- which are not available in SAS Analytics Pro on SAS Viya.