There is a transmission system in India rated for something over a million volts. The last time I looked it was only carrying about 800kV, though. Just why this was so was not explained. IIRC it was on the Wikipedia article on transmission grids.
IIRC, my college power professor said that Russian transmission lines carried 1 million volts, whereas US transmission lines only carry half a million volts.
We do have plenty of 500 KV (all over Louisiana and Arkansas for example), but a good bit of 765 as well. It's very costly to get right-of-way and the bigger the installation the more right-of-way you need.