If you are a Mac user and use or are willing to use LaunchBar, I have created a plugin (Action in LaunchBar's parlance) that displays a menu of recently opened files in Visual Studio Code. You can download the Action from this repository: https://github.com/alberti42/Get-Recent-VS-Code-Documents-For-LaunchBar.

If you are interested in more actions to display recently opened files from other Adobe and Microsoft applications, have a look at https://alberti42.github.io/#launchbar-actions.