It does, but it's very poorly documented and quite unstable (on purpose i think). What the other commenter said about the VSCode BYOK seems to be the more reliable way.

I tried adding a Foundry LLM as Github Copilot custom model and failed miserably. But with VSCode BYOK (and Github Copilot as the interfact) i did get it working, and i can now use Deepseek V4 Flash with Copilot.