Can I save my progress in GitHub?

I’m started my first project for my certification in Responsive Web Design but I wanna work with Visual Studio Code, I can use VSC or is necesary use CodePen.io?
And I can save this projects in my CV like a training with freeCodeCamp ?

No, you have the option to copy the CDN link to your html file in VS, which is better.

Your project needs to be hosted somewhere so that others can see it. GitHub pages is an option to do that.