What is the reverse breakdown voltage of the diodes used in your Multiplier?
Also, you can't really place capacitors in series and expect them to charge evenly, so there could be issues there. If the dielectric arcs, the arc acts like a short, causing an avalanche effect to the other capacitor which in turn will arc. <-- (The basic triggering principle of a Marx generator) If the dielectric arcs, now you have a burned (highly resistive path), or a cap that's damaged and/or works but has a high leakage.