Voltage rating for capacitor in capacitive power supply
You not only need a voltage rating, you need a type of capacitor, one that is rated to be connected directly to mains. 

Choose a 250v X2 rated capacitor.

Now, although the voltage on this part doesn't look like enough for 240v connection, it is rated to be connected to UK mains, which can suffer frequent transients of 1500v, and infrequently much more. In addition, it is 'self healing', in that if a large over voltage causes a breakdown of the dielectric, the metalisation is segmented so that just one small portion will short circuit, and disconnect itself from the rest of the capacitor. 

To get the equivalent performance and safety in a non mains rated capacitor, you would need one rated for several kV.