The insulation on a standard, consumer-grade transformer, would break down and arc over. This would allow those high voltages to jump right through them. A popular and effective way to take care of surge protection of such high levels are Gas Discharge Tubes.  They are readily available and come in small packages these days. You can put them in before your transformers and help save them too.

The company Littelfuse makes them in all shapes and sizes:
http://www.littelfuse.com/products/gas-discharge-tubes.aspx

There is info on their site about the operation of this type of device.