This means that all the capacitors are now charged up to the supply voltage. However, the spark gaps are set to a distance so that they will fire at this instant. When the spark gaps fire, they basically assume no resistance, and thus because of the way they are arranged, the capacitors are essentially discharged in series. The voltages on each capacitor adds to the output voltage, which appears across the discharge terminals. Yep, very simple.
[Source] Marx Generator