Ok I have finally managed to write this code in R where you can select the genes from biomart or sample it randomly to extract the SNPs from VCF files separated per chromosome. It is not dandy, but does the job and can be customized as needed.

#Extracting some genes and positions from Biomart
#Using biomart
library(biomaRt)
listMarts()
ensembl=useMart("ensembl")

#To use hg19/GrCh37
ensembl <- useMart(biomart="ENSEMBL_MART_ENSEMBL", host="grch37.ensembl.org", path="/biomart/martservice" ,dataset="hsapiens_gene_ensembl")
# grch37 = useMart(biomart="ENSEMBL_MART_ENSEMBL", host="grch37.ensembl.org", path="/biomart/martservice")
# listMarts(grch37)

ensembl<- useDataset("hsapiens_gene_ensembl",mart=ensembl)   # from ensembl using homosapien gene data

listFilters(ensembl)

listDatasets(ensembl) 
# #genes.with.id <- getBM(attributes=c("ensembl_gene_id", "external_gene_id"),values=gene_names, mart= ensembl)
# human <- useMart("ensembl", dataset = "hsapiens_gene_ensembl")
# cc <- getBM(attributes = c("hgnc_symbol","chromosome_name", "start_position","end_position"),
#            filters = "hgnc_symbol", values = *,mart = human)


all.genes <- getBM(attributes=c('ensembl_gene_id','gene_biotype','hgnc_symbol','chromosome_name','start_position','end_position'),   mart = ensembl)
colnames(all.genes)
# "ensembl_gene_id" "gene_biotype"    "hgnc_symbol"     "chromosome_name" "start_position"  "end_position"  

##getting only protein coding genes
all.genes <- all.genes[(!(all.genes[,"hgnc_symbol"])=="" &all.genes[,"gene_biotype"]=="protein_coding" & grepl("(^[0-9]+$)|^(X|Y)$",all.genes[,"chromosome_name"]) & !duplicated(all.genes[,"hgnc_symbol"])),]

#####################################
library(stringr)
library(VariantAnnotation)
library(TxDb.Hsapiens.UCSC.hg19.knownGene)
txdb <- TxDb.Hsapiens.UCSC.hg19.knownGene

path.file<-"/mydir/"
all.files <- list.files("/mydir")
all.files <- all.files[grepl("recalibrated.vcf$",all.files)]

##for single file; for loop go below
# bgzip("/mydir/myvcf.chr1.recalibrated.vcf", overwrite=FALSE)
# indexTabix("/mydir/myvcf.chr1.recalibrated.vcf.bgz", format="vcf")

##creating .bgz and .bgz.tbi files
# all.files <- list.files("/mydir", pattern = "*.vcf$",  full.names = TRUE)
#this bit changes the vcf to .gz format
setwd(path.file)
  for (i in all.files) {
    file_gz <- paste0(i, ".gz")
    file_gz_tbi <- paste0(i, ".gz.tbi")

    if(!exists(file_gz))
      bgzip(i, paste0(i, ".gz"))

    if(!exists(file_gz_tbi))
      indexTabix(file_gz, format = "vcf")
  }

save.genes<-all.genes
#all.genes  #this is the table of all genes in bed format

all.files <-list.files("/mydir")
# all.files <- list.files("/mydir", pattern = "*.gz$",
#                         full.names = TRUE)
all.gz.files<-all.files[grepl(".gz$",all.files)]

save.all.genes<-save.genes

##Extracting the genes from VCF


# i<-2
    for(i in 1:length(all.gz.files)){ 
    print(paste0("Doing chromosome:",i))  
#if (save.all.genes[,"chromosome_name"]== sub(".*?chr(.*?)\\.recalibrated.*", "\\1", all.bgz.files[i])){

#This bit here selects only the chromosome number: sub(".*?chr(.*?)\\.recalibrated.*", "\\1", all.gz.files[i])
all.genes <- save.all.genes[save.all.genes[,"chromosome_name"]== sub(".*?chr(.*?)\\.recalibrated.*", "\\1", all.gz.files[i]),]
if(!is.na(all.genes[,"chromosome_name"][1]) & all.genes[,"chromosome_name"][1]==sub(".*?chr(.*?)\\.recalibrated.*", "\\1", all.gz.files[i])){
##file.gz <- "/mydir/myvcf.chr1.recalibrated.vcf.bgz"
file.gz<-all.gz.files[i]
stopifnot(file.exists(file.gz))
file.gz.tbi <- paste(file.gz, ".tbi", sep="")
if(!(file.exists(file.gz.tbi)))
  indexTabix(file.gz, format="vcf")

# start.loc <- 45959538
# end.loc <- 203047868

#chr1.gr <- GRanges("chr1", IRanges(start.loc, end.loc))
chr.gr <- GRanges(paste0("chr",all.genes$chromosome_name), IRanges( all.genes$start_position, all.genes$end_position))

params <- ScanVcfParam(which=chr.gr)
vcf <- readVcf(TabixFile(file.gz), "hg19", params)
#locateVariants(vcf[6,], txdb, AllVariants())
##Writing the vcf subset
writeVcf(vcf, paste0("chr.",sub(".*?chr(.*?)\\.recalibrated.*", "\\1", all.gz.files[i]),".test-sub.vcf"))
   }else{
  next;
}
}