Integrate Jenkins with Azure Databricks & GitHub into VSCode

Yes, you can integrate Jenkins with Azure Databricks and GitHub in VSCode by using the Databricks CLI and Jenkins Pipelines to automate build, test, and deployment of notebooks stored in GitHub. 

Configure Git integration for Git folders - Azure Databricks | Azure Docs

Example on Groovy snippet

pipeline {
  agent any
  stages {
    stage('Checkout') {
      steps {
        git 'https://github.com/your-org/databricks-notebooks.git'
      }
    }
    stage('Build') {
      steps {
        sh 'pip install --upgrade wheel'
        sh 'python setup.py bdist_wheel'
      }
    }
    stage('Deploy') {
      steps {
        sh 'databricks workspace import_dir notebooks /Shared/notebooks'
      }
    }
    stage('Test') {
      steps {
        sh 'pytest tests/'
      }
    }
  }
}