Just go to your AL Code and find the settings.json file and change as per below property
"al.incognito": true
and then go to your launch.json file and make sure you have property added
"launchBrowser": true,
save the file and Run the app with command Ctrl+F5 and wait for the browser opens in Incognito mode.
[embedyt] https://www.youtube.com/watch?v=09Ak4Cg_b9g[/embedyt]