Extensions images not loading - zscaler proxy

I am behind my company corporate network and it is using zscaler proxy. In order to browse internet zscaler proxy redirects your request to proxy login page. After login this will create a cookie and redirect you back to requested page.  When vscode wants to load something proxy sends redirect response to login page.  Vscode should present this login page to the user. After user login vscode should store the cookie and send this cookie in other requests. Without the cookie proxy will always block the requests. Is there some way how to do this (open some external url in vscode to be redirected to zscaler login page to retrieve this cookie)?