Caps can be made out of many materials, but its not just the material or the voltage rating that would be an issue with violet wands or anything caps are used for. With a wand or ray, you have to use a cap that has a pulse rating, and an AC rating as well as a DC rating. I'd say from working with caps, that glass being more similar to ceramic than polymer would have more of the same properties as a ceramic cap than of a polymer cap. But that's again dependent upon what you want it for. Glass is used by NASA in their circuitry because of its stability with temperatures. But they are expensive, and there is only one manufacturer making truly glass caps. Usually, they are the small type you'll find on your computer circuit boards. Here is a good article about glass caps.
http://my.execpc.com/~endlr/misc__dielectrics.html
and here is a general cap article:
http://my.execpc.com/~endlr/
Here is the glass capacitor manufacturer's info site about their glass caps:
http://www.avxcorp.com/prodinfo_catlist.asp?ParentID=27
You'll note from reading there are so many variables in a capacitor and types of capacitors that it depends on what you need for your application. I want to note that with large tesla coils you can never use solid glass caps because they can blow up.
And I'm going to paste from another good article from the FDA:
A. Fixed Capacitors
Ceramic Capacitors - These are a unique family of capacitors with dielectric constants ranging from 6-10,000. They can be easily manufactured to desired physical and electrical characteristics by applying ceramic chemistry. Ceramic capacitors are so widely used that they come in three classes. Class I ceramics are used for resonant circuits and high-frequency bypass and coupling. These capacitors have a wider temperature range compared to Class II and Class III capacitors. Class II ceramics are used where miniaturization is required for bypassing at radio frequencies, filtering, and interstage coupling. Class III ceramics are used where low-voltage coupling and bypassing in transistor circuits are necessary.
Metalized Paper and Film Dielectric Capacitors - The use of this class of capacitors is ideal where great amounts of heat will be present in a circuit. These capacitors possess a unique property called self-healing whereby they eliminate momentary short circuits induced in their dielectrics caused by surrounding circuit elements. Once the capacitor becomes too hot, the localized heat generated is sufficient to vaporize the thin electrode in the area of the possible breakdown. The ability to self-heal permits these capacitors to have higher voltage ratings for a given thickness.
Other capacitors commonly used as fixed capacitors are air, glass, and paper types. These are the earliest capacitors to be used and they still find usage in general purpose cases.
Mica Capacitors - These capacitors find their use in such applications as high-frequency filtering, bypassing, blocking, buffering, coupling, and fixed tuning.