How to enable VS Code auto-imports with Yarn 2.0's link: protocol and Typescript

Question

I am using Yarn 2 with PnP enabled and Typescript. In my dependencies, I have "app": "link:./" for absolute imports as described here, no paths or baseUrl in my tsconfig. What I want is auto-import of files to be absolute too and not relative. I used to have baseUrl and it worked fine.