Microsoft Azure: Get a lot of computing resources to use in my IDE of choice (VS Code)?

I recently started working with Azure DataBricks. It lets me edit notebooks in a Jupyter-like web interface and run my code on a Spark cluster. In addition to letting me run my Spark jobs, I can obviously run arbitrary code using remote computing resources.

I would like to be able to run arbitrary code using remote computing resources provided by Azure, **but within VS Code or any other IDE rather than the DataBricks editor.** My first choice would be to just run everything on my DataBricks clusters like I think JupyterLab can (https://databricks.com/blog/2019/12/03/jupyterlab-databricks-integration-bridge-local-and-remote-workflows.html). However, I’m not sure that that is possible\*.

Are there other options for me? In other words, can I get access to remote computing resources to run my Python code from an arbitrary IDE (maybe by running a Jupyter server on those remote resources or something?) Maybe I could set up a virtual machine within Azure, would that do what I want? Would there be options to do what I want from other major cloud service providers?

(This question relies on a lot of premises that may or may not be quite accurate, because I’m a lazy noob. So please feel free to correct any part of this, and help me ask the question that I intend to ask and/or should be asking.)

\*partly based on this: https://docs.microsoft.com/en-us/azure/databricks/dev-tools/databricks-connect
, see the “Limitations” section. Obviously there could be some other tool that can do it, but I feel like they would mention that.