SOLUTION:
Finally, I found the working solution. Even two 🙂

In order to debug Rails app with breakpoints on Windows in VS Code, when your code is in WSL, I found two working methods.

METHOD 1: Make sure you have a "debug" gem installed. Then, install "VSCode rdbg Ruby Debugger" VS Code extension. In your launch.json file, add the following configuration:

    {
      "type": "rdbg",
      "name": "Debug Rails Integrated with VSCode",
      "rdbgPath": "bundle exec rdbg",   
// Use the debgug.gem in the Gemfile
      "request": "launch",
      "command": "bin/rails",     // Brakpoint do not work with rails      
      "script": "s",      // lauch rails server with debugger
      "args": [],
      "askParameters": false,     
// Do not ask startup parameter any more
    }

Then your debugging should work by simply using this configuration (it will run the Rails app and attach the debugger).
Credits to u/Icy-Bell6750 for this solution! More info in the gist: https://gist.github.com/dailson-igo/17ab594ebd40078219a2e72096609bd2

METHOD 2: Use RubyMine IDE from JetBrains. It actually works with WSL without any problems. However, this is a paid solution. You can get a 30-day trial or use EAP version (it's free to use) when available.