You dont need an audio transformer. You need a transformer with a high step-up turns ratio. To get 500V from 9V would be a turns ratio of 500/9=55.
The transformer should be constructed so that it works efficiently at the frequency you intend to switch it at. It just so happens that audio transformers are typically used at frequencies from ~50 to about 20,000 Hz. Is that what you want to switch at?
Audio transformers are rated for impedance matching. It just so happens that the turns ratio can be computed from the impedance ratio. The voltage step-up (or down) is proportional to the turns ratio. The turns ratio is the square-root of the impedance ratio, or conversely, the impedance ratio is the square of the turns ratio.
If you need a 55:1 turns ratio, that would be a 3086:1 impedance ratio. For example, an audio output transformer which is rated at 12000Ω input and 4Ω output could be turned around and driven backwards to get a 55:1 step-up. However, I have never seen a 12000Ω:4Ω audio transformer, so it is moot.
You might find one that is 500Ω:3.2Ω, so that would only be √(500/3.2) = 12.5:1 which would only make 112V out of 9.
You could use a capacitive-diode voltage multiplier on the secondary side to step up the voltage further.
A photo-flash transformer may be more suitable.
btw-I recommend you use the taser on yourself!