How to customise the textMateRules for multiple themes in VS Code?

Microsoft will add this feature if microsoft/vscode#103694 gets upvoted enough. The behaviour you want is not possible unless you customise every theme.

{
  "editor.tokenColorCustomizations": {
    "textMateRules": [
      {
        "scope": [ "keyword" ],
        "settings": { "fontStyle": "italic" }
      }
    ]
  }
}

From this Github page

First Copy this code to User Setting.

"editor.tokenColorCustomizations": {
  "textMateRules": [
    {
      "scope": [
        //following will be in italic (=FlottFlott)
        "comment",
        "entity.name.type.class", //class names
        "keyword", //import, export, return…
        "constant", //String, Number, Boolean…, this, super
        "storage.modifier", //static keyword
        "storage.type.class.js", //class keyword
      ],
      "settings": {
        "fontStyle": "italic"
      }
    },
    {
      "scope": [
        //following will be excluded from italics (VSCode has some defaults for italics)
        "invalid",
        "keyword.operator",
        "constant.numeric.css",
        "keyword.other.unit.px.css",
        "constant.numeric.decimal.js",
        "constant.numeric.json"
      ],
      "settings": {
        "fontStyle": ""
      }
    }
  ]
}

Now look closely, in textMateRules you have to define a scope. In the scope array, you have to mention which options you want to modify, then, in the setting array of the same scope you can add your style, for example, you want to add fontStyle italic. Like this.

"editor.tokenColorCustomizations": {
  "textMateRules": [
    {
      "scope": [
        //following will be in italic (=FlottFlott)
        "comment",
        "entity.name.type.class", //class names
        "keyword", //import, export, return…
        "constant", //String, Number, Boolean…, this, super
        "storage.modifier", //static keyword
        "storage.type.class.js", //class keyword
      ],
      "settings": {
        "fontStyle": "italic"
      }
    }
  ]
}

See the answer by Mr.Shuvo. You can make it specific to a loaded Theme like so:

{
"folders": [
    {
        "path": "C:\\Users\\Envs\\django2"
    }
],
"settings": {
    "workbench.colorCustomizations": {
        "activityBar.background": "#580A42",
        "titleBar.activeBackground": "#7B0E5D",
        "titleBar.activeForeground": "#FFFCFE"
    },
    "editor.tabCompletion": "on",
    "editor.tokenColorCustomizations": {
            "[Monokai Classic]": { 
                "textMateRules": 
                [
                    {
                        "scope": "string",
                        "settings": {
                                    "foreground": "#FF9900" ,}
                    }
                ]
            },
        }
}

}