Solved! 
While typing my previous post I noticed that I used different paths in my prompt then in the launch.json. I had to play with the various paths before everything worked in the prompt as well.
When I used exactly the same paths in my launch.json everything worked! So obvious but I completely overlooked it… 
Anyhow, this is the working launch.json:
{
"version": "0.1.0",
"configurations": [
{
"name": "Debug (OpenOCD)",
"cwd": "${workspaceRoot}",
"executable": "./target/inose-iot-photon.elf",
"interface": "swd",
"request": "attach",
"type": "cortex-debug",
"servertype": "openocd",
"configFiles": [
"interface/cmsis-dap.cfg",
"C:/openocd/bin-x64/scripts/target/nrf52-var.cfg"
]
}
]
}
No idea why the paths have to be that way. I added C:/openocd/bin-x64 to my PATH in Windows but that’s it. Is VS Code using his own paths? And where can I find it?
Sebastien