I have a bad feeling about this. It actually sounds like a device to wring confessions out of prisoners. I don't care for the evasive answers either.Oscillator: "AD9850 signal generator module. "
osc
Amplifier: 500 volts peak = 1000 volts p-p = 1200 volt supply.
This transistor has no speed rating and may be slow. It is only 1200V. There are not many HV transistors in production now.
STN0214
Here is another but I know it is too slow.
STP03D200
I have some old stock 2kv transistors that are not available from suppliers. I think we got 100khz and 300V out of them.
MOSFETS: HV and low current. mosfet Here is an example of a part.
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500v ac 500khz will burn. It will peal the skin off your finger. I have seen and had burns from this. It is very dangerous. At that frequency you do not have to have one hand on ground to get hurt. If some one is going to build this it needs current limit!