I have added these two words to the workspace dictionary:
PyGMO's
PyGMO
But still I get a spelling error on PyGMO's in the text. Specifically, it thinks I'm writing Gmo's:

It doesn't seem like Code Spell Checker can handle this kind of word?
This is a known issue. It has to do with how the word splitter works. Words are only checked after they have been split, not before. An enhancement to the cSpell library would be to do the checking in two steps: 1. against the full word and then 2. against the split words.
Ok. Is there a workaround until then?
The easiest thing to do for now is just to add GMO to your word list.
Alright 馃憤 But for the record, I had to add GMO's on the list.
Yes, that is right, the 's is considered part of the word.
Most helpful comment
This is a known issue. It has to do with how the word splitter works. Words are only checked after they have been split, not before. An enhancement to the cSpell library would be to do the checking in two steps: 1. against the full word and then 2. against the split words.