Are there short-circuit-proof electrolytic capacitors?
There are capacitors designed for flash-bulbs, they can withstand higher currents but still probably not shorts. 

These lamps are not shorts, for 1/2000s peak current must be somewhere at 4000A, which means for 230V resistance should be 47mOhm, so good caps in parallel might have lower resistance, and dissipate most of power in wires, connections and lamp itself.

You may add inductor in series with your lamp to limit peak current.

I am working on similar problem - I've got 2x 2000J flash-lamps (used in Russian aircrafts), and already bought a bag of capacitors for them - going to try it soon :-)