Yes hard to make high voltage electrolytics, probably because of the edges of the foils making a stress concentration. High voltage high capacitance you find film capacitors are the winner, easy to make a thicker plastic dielectric layer, and then wind it into a capacitor using a disposable mandrel, and 2 metallised film layers, to get high voltage, self healing and high capacitance. Then either oil filled, or vacuum epoxy impregnated, to reduce the chances of flash over. Yes the capacitor gets big, but has good pulse handling, and is inherently self healing, and no worries about reverse bias destroying it. But as you rarely need a high capacitance, well worth it. Largest film capacitors I have seen were 100uF 33kV operating voltage, which were heavier than me, and oil filled. Seen some PFC capacitors that are 33kVAR, at 400VAC 3 phase, at the scrap yard, with the value of them being zero, as there is around 10g of aluminium in them over the 2kg of mylar film.