AC-DC High voltage converter
This is not an answer to how to make your supply.

This is an answer on safety, if you intend to continue down your path.


I highly suggest you learn about high power and high voltage safety more. You are even approaching topics like Arc Flash safety, and with out a doubt lethal electrocution voltages.
I highly suggest you learn about electrical safety from the context of "machine guarding and safety". Topics like E-Stop circuit design, safe machine maintenance procedures etc.


Before you even work on your contraption I would adopt the following:


A multi pole contractor appropriately rated running both your Line and Neutral wires through it Normally Open. The coil should be driven by Normally Closed (NC) switches etc. so if a wire comes loose your device stops. Never use something like a micro controller for primary safety. If you want to have an over current system as part of your circuit, put it in series with an E-Stop, and use deterministic parts like a comparator. Ensure your E-Stop is visable and within reach at all times.

Plug your system into a GFCI outlet. This way if you somehow come in contact with High Voltage, the outlet should trip out, saving your life.
When dealing with the electrical system with pulsed power like this, test it at a physical distance. For example, use a power strip with a switch from 10ft away to turn it on the first time or after changes.
Do not wear flammable clothing or synthetics. Stick to pure cotton shirts and pants.
Wear safety glasses, always.
Buy a fire extinguisher.


Please note this just touches the surface, and some of this is just common sense. Also the safety circuit posted is minimally acceptable. In an industrial setting, what I posted would not meet minimum requirements like “A single fault does not lead to the loss of safety function.”. That is actually a good motto, wether it is a safty circuit, wire insulation. With this type of power and voltage, you should design so a single fault should not kill you.