Yes, the electrical supply in the UK is transmitted at 300KV - the obvious problems with high voltage transformers are the insulation requirements, this could be a problem for you.
You don't give any clue as to the application, or the specification, but you might have to have transformers specially made?.
You should also be VERY aware of the dangerous voltages, assuming there's any sort of current capacity it's likely to be almost certainly fatal!.
yes I know that the mains is transmitted at that sort of voltage so there is no power loss due to the heat dissipation in the resistance of current, I am a electronics technician! My application is for generation of a big voltage obviously with minimal current (pA).