I am looking for some .01 mfd and .02 mfd @ 2kv ceramic
radial lead capacitors.
Looked in digikey and mouser
and didn't see them there.

Digikey stocks Panasonic 2kV capacitors up to 5600 pF (= 0.0056 uF).
See, for example, part number P4495A. Two or four of these in parallel
and you're set.

Tim.