It's not just the transformer but also the components for the mains filtering and phase angle correction components that are included in many supplies. That also includes transient protection components for things like atmospheric electricity.
I have had trouble (at work) with current leakage problems at values approaching 2KV and I defiantly would not recommend doing what you are suggesting. Most standard components will be right on the limit at 2KV and though you can get higher rated ones you are not likely to find these in many ready built units.
Avoid inadvertently providing a path for current flow.
Much easier said than done. Plus any slip could prove fatal.