This Answer actually solves the problem. I wish there would be a more straight-forward way, either from Visual Studio Code or a simple raise flag from pytest.

I couldn't connect neither, even following https://github.com/microsoft/vscode-docker/issues/3946. What worked for me was after following @therightstuff answer, which I think it needs better explanation.

Steps to reproduce:

1. Go to VS code extensions and install Dev Containers from Microsoft.

2. In your VS code window, in the left-bottom corner there's the button >< in blue. Click it! (or green if you are connected to a remote host) (in this image the is purple).

3. This will open a contextual menu on top of VS Code. After installing the previous extension now you can click "Attach to Running Container". Click there.

4. VS Code will open a new window that is running within your docker. Now in this window you must install Python extension from Microsoft to enable debugging.

5. Go to debug panel in this window and add a new configuration for Python. Add the following:

    {
     "configurations": [
      {
      "name": "Python: Pytest",
      "type": "python",
      "request": "launch",
      "module": "pytest",
      "args": [
        "$file"
      ],
      },
    ]
   }
   

6. Now open the file you want to test, and click on the green triangle in the debug configuration with the name "Python: Pytest", which is the config you just added. If instead of running a unique file you want to run all tests or run a single test, in the previous config file put "your pytest arguments" instead of "$file" inside "args" option.

EDIT

Alternatively to step 5. and 6., you can open the folder .vscode (which will be added automatically, or if not create it) and create a new file called settings.json with the following code:

{
    "python.testing.pytestEnabled": true,
    "python.testing.unittestEnabled": false,
    "python.testing.nosetestsEnabled": false,
    "python.testing.pytestArgs": [
        "app/tests"
    ]
}

app/tests is where I have my tests, and for the rest of options, enable the kind of framework you use for testing (in my case that was only for pytest). Then go to menu View->Command Palette and type: Python: Configure Tests and click the option from the menu you'll see.

After this, vs code will detect all tests in that path, and you'll see a little green triangle next to every test definition so by clicking over you can run it. If instead of left click you press right click, there's an option for "debug test", which allows you to debug that test. Remember that, at least in the case of pytest all tests definitions must start by "test_". Otherwise vs code won't detect it!