Run a ML program locally using the Colab GPU
Be aware that I don't want to work from Jupiter Notebook. I would like to work in Visual Studio Code and run the code on the Colab GPU directly instead of my CPU

Nope, not possible.
Update reason:
Colab itself is a jupyter notebook, you can't take away the machine resources to link to your pc and use other software with it.
If this possible, people will already abuse it and use it for mining crypto, run-heavy load programs, etc.
Colab is a free product by Google to introduce you to their cloud compute services. This mean colab have its own limitation
"Colab resources are not guaranteed and not unlimited, and the usage limits sometimes fluctuate. " -Colab FAQ
If you are a fan of colab, you might want to try the pro version for just $10/month
I have a Lenovo as computer, but there is no GPU installed. So when I run a machine learning program written in python, it runs it on my local CPU. I know that Colab provides us a GPU for free. To use it, I need to take the content of all the python files from my ML program and put it in this Colab notebook. It is not very convenient at this point. Is it possible to run in any ways my ML program from my computer using directly the Colab GPU without using the Colab Notebook directly.
EDIT
Be aware that I don't want to work from Jupiter Notebook. I would like to work in Visual Studio Code and run the code on the Colab GPU directly instead of my CPU