An adjustable PSU 1-15kV (or even up to 25kV), a resistor, a capacitor, high voltage relay to discharge, and some probes with specificallty defined geometry.
Indeed price is for a large amound due to R&D costs, and extensive quality control, tracability, calibration etc.
And partially because they can (I think), works as long as all manufacturers play along and stay roughly in the same pricerange.
No really a problem, because their customers are mostly EMC laboratories, for which even the most expensive ESD gun is still
among the cheapest bits of gear.