I am not able to open a Visual Studio Code window from a MSYS2 terminal using the code command (command not found error). I have thoroughly followed the steps mentioned in the official guide and both MSYS2 and VSCode bin folders are on my Path variable.
Although this is not a deal breaker, as one can open the folder in VSCode and then navigate to the directory in MSYS2 in the integrated terminal, it does cause some minor inconvenience.
The root of the problem was that VSCode's bin directory was not added to MSYS2's PATH (thanks to user's comment). There was no mention of doing this as a method of troubleshooting in the official guide, so I have opened an issue there.
The following line of command fixed the problem for me:
PATH=/c/Users/[username]/AppData/Local/Programs/'Microsoft VS Code'/bin:$PATH