Your workspace needs to be linked to an existing application hosted on Heroku:
Open the Command Palette(CMD+MAJ+P / CTRL+MAJ+P) and look for Heroku: Link the current workspace to an existing Heroku app. in order to do that.
Open the current Heroku app Activity Dashboard when clicking on the Heroku Status.
Add a command in the Command Palette to open the Heroku-hosted app.
Create and deploy a new Heroku app via the Command Palette.