I am surprised that you cannot find a filter to buy.
What are the important parameters for your application? Voltage, Current, Attenuation ?
If you were to build your own, I think that 275v X and Y capacitors should be OK.
The 1 meg resistor will not dissipate much power, it just needs to have a rating of 250v or greater.
It is just there to ensure that the capacitors do not hold a residual charge when disconnected from the mains.
The inductors, not too sure about them.
I think that the mix will be a lossy high Al (mu ?) ferrite.
As for the windings, there may actually be too different forms in the complete filter.
One to to suppress common mode noise, and one to suppress series mode noise.
JimB