Raspberry pico W is supported, but the vanilla raspberry pico clearly is not. After trying "rpipico" as a board this error shows up "Error: Unknown board ID 'rpipico'". It is bit misleading, because from what I know about esphome you cannot just have a device that communicates through USB and doesn't connect to WiFi.
I think it is important to understand that RP2040 isn't like ESP. Every RP2040 board doesn't support esphome, but basically any ESP device can support esphome.