Make 5kV, 0.001A (5W) step-up from 12V?
At that high of a step-up ratio, I'd look into a transformer doing most of the work.  With the right windings, you can drive the primary from a H bridge straight from the 9-15 V DC.  Another option at such low input voltage is a center tapped primary.  The center tap is connected to the DC input power, and each end has a low side switch, which alternately pull low.

With a few 100 kHz square wave on the input, it wouldn't require a very large transformer at all to push 5 W out.  The whole circuit with transformer should be able to fit easily in the palm or your hand.

The way you do regulation is by making sure that the minimum voltage square wave (when your input is on 9 V) can cause the 5 kV at 1 mA out.  On the output side you put something that measures whatever quantity you want to regulate, and drives a opto-isolator when it is over the limit.  On the input side, you simply kill the oscillation whenever the opto is active.

From what you say, you don't seem to actually need isolation, but at 5 kV that is a good idea for safety.  You could get the same power out with a auto-transformer, but then the output wouldn't be isolated.  Unless this is going into a very controlled situation or a totally sealed box, I'd consider the extra safety from full isolation to be a good tradeoff.