ac voltage references (like what you would find in a calibration lab) can source a sine wave up to 1999.99Vrms at up to 20khz (some go higher in frequency, and some only go to 1kV), but at very low current. using an amplifier and function generator are ok, to a point, because of slew rate limiting as ronsimpson pointed out. an amplifier capable of more than 300V/us is going to be very expensive. that's why AC voltage references are so expensive (well also the fact that they have very accurate control of the output amplifier).
here's the schematic for one capable of 1800Vp-p **broken link removed** it's the one on p110