Thank you for the response. I'm not sure I'd have any idea how to create a function for this at this point. Lack of support for this feature is pretty much the main reason I'm shifting away from vscode. (Also looking at nvim as I want a more powerful go-to solution for CLI editing...)
Certainly frustrating - it was my most used feature when I was coding SQL extensively...
Thank you - it seems that this will only be possible with a wrapper script (which was going to be my next course of action). I can definitely use what you've written here as an accelerator, though!