I used markdown preview feature in vscode a lot.
I figured out the code fence syntax highlighting language support in markdown preview panel is different from the list of vscode supported language. I tried to google this, but can not find any useful information.
For instance, shell in markdown preview code fence is for terminal syntax instead of shellscript/bash and it does not exist in vscode language support.
From what I can tell VS Code uses the highlight.js library.
Reference: No syntax highlight for the D programming language in Markdown's fenced code blocks
There is a list of supported languages on their GitHub page: