High Voltage Regulator
The ESR represents the sag at DC, you may get a brief pulse charging that external capacitance that exceeds the (real) Safe Operating Area of the MOSFET. 

Assuming there is a largish capacitor on the supply, maybe you can add a series resistor to limit the transient current. 

I would not place perfect confidence in the calculated SOA curves on the data sheet- from testing they can be somewhat ... optimistic.