Step to configure:

Go to: File > Preferences > keyboard shortcuts
then in the search-bar search for "focus terminal"
select "workbench.action.terminal.focus" and then ctrl+k or press your custom key and then press enter.
Similarly, in the search-bar search for "focus active editor group
select "workbench.action.focusActiveEditorGroup" and then press ctrl+j or press your custom key and then press enter.
After the above setup:

Press ctrl+k to focus cursor on terminal
Press ctrl+j to focus cursor on coding section without closing terminal