You will not find high voltage capacitors. The highest standard voltage is 500 volts,

Maybe you can't find them, but that doesn't mean they don't exist.
http://hvstuff.com/high-voltage-capacitors/film
https://www.surplussales.com/Capacitors/Polypropylene/Box-Caps/MKP-MKT.html

 

OK, what I should have stated is that you will not find high voltage electrolytic filter capacitors. That is, capacitors with values in the tens of microfarads up to the hundreds of microfarads.