I want to modify my keyboard for a retro cyberpunk look and replace my LED (scroll, caps and num lock) indicators with neon indicators.
This can certainly be done, but just because it is possible doesn't mean it's practical. I see two problems: size and voltage requirements. The most common neon lamp suitable for use as a keyboard key-status illuminator is the ubiquitous NE-2, mentioned by
@Audioguru in post #5. Suggest you obtain a few of these and see if their size is going to be a problem.
The voltage needed to "fire" an NE2 is around 90 V DC, dropping to about 65 V, needed to sustain the glow discharge, after the lamp is lit.
See this datasheet. You don't need (or want) thousands of volts for this. One hundred volts or so
and a current limiting resistor, in series with each lamp, is all you need. All the lamps can be powered in parallel from the same power supply because the current-limiting resistors provide isolation of the lamps from the power supply rails.
The problem I see is how to turn the lamps on and off by placing a solid-state switch (transistor) in series with each lamp, supposedly controlled by a low-voltage logic-level signal, i.e., the original LED power source. So now you are mixing relatively high voltage with low-level logic voltages on your keyboard, which is presumably connected to a microprocessor that sorts out individual key presses.
Make just one mistake and you will have ruined the keyboard, probably beyond any hope of a cost-effective repair. So, are you really willing to risk that for a (possibly) kwel retro-looking or steam-punk or cyberpunk keyboard? Jeez... maybe you could just purchase a prop from the now-defunct Warehouse 13 television series. Oh, wait, props for TV shows don't have to actually work... nevermind.