Woops ..... calculation errors.......
Let me correct a few figures.

For a 4KV 500mA 2000Wsupply.
A full wave supply with a 4.5KV-0-4.5KV transformer driving two de-maged
magnetrons driving a filter choke.
It would drop about 500V in the magnetrons.
Power loss would be 40Wfiliment plus 250W plate loss, for a total loss of
290W each.
Total losses would be 580W at full load. 80W at no load.
77.5% efficient at full load.

That should be
Total losses would be 330W at full load. 80W at no load.
85.8% efficient at full load.

The largest supplies you could probably make is a 10KV 500mA 5,000W supply
with two tubes and an efficiency of 90%.

10KV 500mA 5,000W supply with two tubes and an efficiency of 93.8%.

Or a 20KV 500mA 10,000W full wave bridge supply, with four tubes, with and
efficiency of around 90%

20KV 500mA 10,000W full wave bridge supply, with four tubes, with and
efficiency of around 93.8%