Stefan,
You are on right track.We can save money and energy by reducing the number of voltage transformations.Transformer engineers can manage any transformation ratios.They are alreday making 22/800 kV GSUs, 33/0.1KV Furnace transformers.So for them 500/33 kV ratio is not an issue.The real problem is the max rating of 33 kV Breaker available in the world market.A couple of years back when a large oil refinery made such an excercise,the max rating of SF-6 type 33KV breaker avialble in the world could manage about 200 MVA.So self supplied 194 MVA 220/33 KV transformers for distributing power inside refinery.I dont know whether breaker technology attained more than that level. You may contcat MV breaker manufacturers for their limit.
When you dont have suitable breaker, the solution is to go for multi LV transformers ie 250/125-125 MVA 500/33-33 KV transformers.Any connection is feasible Ynd1 or 11 or Yy.In case manufacturer is able to manage 250 MVA only with 5 limbed core instead of normal 3 limbed core,then you have to ask for an additional delta stabilising winding if you opt for Yy connection.
Scotty, copper quantity in a transformer winding is same whether 500 KV or 33 kV as long as current density remains the same.Normally the same current density is maintained in HV and LV windings.Some times due to better cooling( due to lesser paper insulation,higher current density is used in LV winding, resulting in less copper in LV winding