Teensy is actually not a great match for VisualGDB. While you might be able to use VisualGDB to build the code, debugging it is pretty much impossible because the Teensy doesn’t expose SWD or JTAG pins. A hardware hack is possible – see http://mcuoneclipse.com/2014/08/09/hacking-the-teensy-v3-1-for-swd-debugging/ – but not for the faint of heart. I doubt
If you really want to use the Teensy, you’re better off doing development using another development board with a similar Kinetix processor then deploy it to the Teensy (perhaps with Teensy’s Arduino IDE) when everything has been tested and debugged.
Dan.