For the conditions you are proposing a 20Mohm resistor would be OK.
The zener diode will be OK.
Also be aware that resistors have a voltage rating, usually around 250v for the average 0.25w resistor.
You can get special high voltage resistors.
But I must ask, why would you want to drive this zener from such a high voltage?
Look at the VR37 series resistors from Vishay. Allied Electronics carries them. They are available up to 33Mohms and handle 3.5KVDC. Reasonably priced.