Drilling is generally done with a CNC drill press, able to use various drill sizes. Recently some manufacturers have moved to CNC laser drilling which allows for much smaller and tighter holes.
As for etching, I would presume you can built your own etch tanks and process. There are machines for that but I don't have an idea of where to point you to. But, when you start getting into that scale, you need to think about the facilities and proper ventilation of the chemicals, as well as proper disposal. You can't just wash the stuff down the drain. So now you're dealing with your municipality and what you can or can't do.
If you are serious about this, there is no cutting corners and you are looking at a rather large venture capital to start with. As you've already discovered, it'll be in the millions. Nothing says you CAN'T do this, assuming you can secure the funding. However, you need to keep in mind your competition: China.
I can have ten 50mm x 50mm boards made for under $10 + s/h from China. I can have three of the same board made through OSH park (who also outsources to China) for the same price. Or I can have a single one made at a company that's 100% based in the US, for a little over $300 (price based on a September 2012 quote.)
China has the raw materials locally, they don't need to import anything (from afar). This is why a lot of the electronics giants are in Asia (besides cheap labor.) Companies based in the US (or anywhere else for that mater) have to import everything ... 99% of the time, from those Asian countries. Someone, somewhere, has to pay for that. So, it's either we outsource it all for cheap, or we pay a premium. I choose to outsource, as does a lot of other US companies ... Apple being a big one.