For debuging to work in VS Code export mbed project with the debug flag
For this installing the mbed CLI is required which is done with pip install

mbed export --profile debug


For openOCD use these paths

/usr/share/openocd/scripts/board/st_nucleo_f4.cfg

/usr/share/openocd/scripts/interface/stlink-v2-1.cfg or stlink-v2.cfg