There are no 3kv zeners -- and if there were, they'd be a bad choice for HV and any stored energy. They stink at impulse loads. ZNR type devices are like zeners but so squishy they need to be at about twice the volts you normally run -- so you need 2x overrating on what they are protecting minimum. There's no easy way to get around that problem, other than prevention in the first place, and people like Spellman do both to get to decent reliability -- look at those 6 amp diodes in a low current supply -- and twos in parallel at that! I see similar efforts inside my big Glassman too, it's kind of the universal solution to this class of problem. You can't just go down on the ZNR voltage, as they start drawing current, heat up, and they die young from that even if you can spare the power -- they are "weak allies" -- not rated for any continuous power handling, just rare events.
I kind of doubt your circuit as shown can be protected from the AC coupling caps discharging in an output arc at all, with all the supplies running at ground potential. There's just too much stored energy implied in those. A huge reverse polarity diode across the output might help there, but in that circuit there's no place to put it that will work. You're kind of on uncharged ground here
I think you'd be better off either putting them all in parallel and driving a normal stack (you might find they sync up easily, worth a shot), or just put a doubler on each one, and hook a bunch in series with separate floating supplies some way -- but that's only my opinion. Both of those things were done in the past with at least enough success to get into the books as working solutions.
You might have to sacrifice a couple to testing...
Remember even a tiny capacitor can deliver huge peak amperes in a quick discharge - it's only limited by its parasitic series impedances, which can be quite low. Add high voltage, and that's not much of a current limit. And if you use series resistors, well, that kinda stinks too for other reasons (and the resistors may arc over themselves instead).