The SDK 'Microsoft.NET.Sdk.Web' specified could not be found in VSCode OmniSharp extension

Try the workaround solution bellow:

Add a file called omnisharp.json to your project folder with following content

{
    "MsBuild": {
        "UseLegacySdkResolver": true
    }
}

Then restart the Visual Studio Code

If you're on Linux or Mac, add the path to your sdk folder in your .bashrc (or wherever else you want):

export MSBuildSDKsPath=$HOME/soft/dev/dotnet/sdk/3.0.100-preview3-010431/Sdks

The same behavior can also be solved with this command: dotnet nuget locals all -c

The answer by Evgy will work specifically with .NET Core Preview 3, but if you want the fix to work with the released version of .NET Core 3.0 or higher, then you can add the following line to your .bashrc file (supposing you are on Linux):

export MSBuildSDKsPath="/usr/share/dotnet/sdk/$(dotnet --version)/Sdks"