Another source is Just Radios in the USA,with obvious shipping difficulties. They do a minimum order of $25 + shipping, but stock 600V electrolytics and othe high-voltage capacitors:
https://www.justradios.com/cart.html
Again, no connection except being a satisfied customer.
if you are looking for
really high voltage stuff, try this:
http://hvstuff.com/
I've never bought from them so I can't really comment further, other than to say I have no connection. Perhaps you could make your mind up while sitting in one of the massage chairs that they sell, too!
Colin.