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Double check to be sure the electrolytics were installed with the polarity correct. If one was backwards it would short and could cause the symptom you see.
If the diodes weren't chosen with a high enough PIV they could break down. Most doubler circuit designs have high PIV requirements. If one does short for whatever reason, it makes for a high current through one or more of the electrolytics and probably damaging them.
Diodes are cheap, electrolytics not quite as inexpensive, but it sounds like you need to replace both in the circuit.
I think this generalization is correct, but I make no guarantees. The diodes in any voltage multiplier circuit look like they're are connected in series. They might have a resistor between them in one version for in-rush protection, but the orientation is still the same.
The banded end is the cathode. If the supply is a positive supply, the banded end of the one closest to the output will be the output. All the other diodes will precede it pointing in the same direction.
I've attached a simplified schematic of one version.
John
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