I thought the vscode debugger is for the JavaScript target, not the hashlink target (but it's been a while since I last looked, so I would be glad to be wrong).
There's actually VSCode debuggers for a lot of Haxe targets by now: HashLink, JavaScript [1], C++ (HXCPP), Eval (the compiler's macro interpreter) and Flash. See https://github.com/vshaxe/vshaxe/wiki/Debugging.
[1] Though in JavaScript's case, there isn't really anything Haxe-specific about it, it just uses sourcemaps generated by the compiler like other languages compiling to JS.
[1] Though in JavaScript's case, there isn't really anything Haxe-specific about it, it just uses sourcemaps generated by the compiler like other languages compiling to JS.