Neon bulbs have a "fire voltage" and a "hold voltage". Each bulb is different but lets say it takes 80V to turn on the bulb but only 60V to keep it going. When you use a regulated bench power supply the bulb will pull no power up to 80V then it will pull a huge amount of power and load down the supply. (do not power a Neon bulb directly from a power supply)
Normally you use a power source (ac or dc) that is well above the fire voltage of all bulbs. Then a resistor is used to limit the current to the uA or mA level. 100V will probably fire the bulb. The current is then set by; 100-60=40V across the resistor.
There is nothing wrong with using 240vac and a large resistor.
If you job is to measure the fire voltage; then you should use the (bulb + resistor). You will turn up the supply slowly, when the bulb turns on read the voltage of the supply not the voltage across the bulb. (because the bulb voltage dropped from 80 to 60 faster than you can measure ..... <uS)