It seems capacitors are subject to a "quality triangle", where we can only pick two out of three desirable traits:
- High voltage rating
- High capacitance
- Cheap
For example, a high-voltage high-capacitance capacitor is not likely to be cheap.
But, can we get around that by adding a step-up transformer with a cheap high-voltage low-capacitance capacitor on the secondary? Since
$$Z_{reflected} = \left(\frac{N_P}{N_S}\right)^2 Z_{secondary}$$
then that low-capacitance capacitor will reflect a much greater $$ \frac{1}{j\omega C_{reflected}} = \left(\frac{N_P}{N_S}\right)^2\frac{1}{j\omega C} \Rightarrow C_{reflected} = \left(\frac{N_S}{N_P}\right)^2 C $$
Not sure if this is a common practice or not (or, if the cost of getting a properly-rated transformer would exceed that of just getting the more expensive, high-voltage, high-capacitance capacitor in the first place!)