Visual Studio Code unsaved files location
The Microsoft help file indicates that the settings are stored in the folder:
Windows -
%APPDATA%\Code\User\
For me this translated to:
C:\Users\USERNAME\AppData\Roaming\Code\
In this folder I located a Backups folder, this folder contained the raw data for my document. This appears to be grouped by date stored as a UNIX timestamp.
For Linux users they are found at ~/.config/Code/Backups.