In my current specific case, I'm trying to open a .po file with Poedit. I will also likely want to open .psd files with Photoshop, and .svg files with Illustrator.
I suspect I'm still missing the proper term to search. I've found a reference to launch.json (which I think is for configuring external debugging?) but have yet to find that, much less my current goal of "Let me double click a PO and open it in Poedit!"
EDIT: This seems not to be possible currently (see also https://github.com/fabiospampinato/vscode-open-in-application/issues/9).
Orignal answer:
You could try this extension: Open in Application