The real issue with measurements at high voltage is one of isolation.
If your HV supply is constructed without using a chassis or other common ground, and the Arduino is powered by a separate supply (preferably transformer isolated), all that the Arduino will ever see is the voltage drop across the current shunt resistance. This resistor should be 200 ohms to provide about 4 volts drop at 20 milliamps, so as to use most of the 0 to 5 volt measurement range for the area of interest, with an allowance for overcurrent.
Note for safety purposes that the Arduino analog input pin will be at 2 kv, but only with reference to the other side of the HV supply. Avoid inadvertently providing a path for current flow.