how to improve cavity filter 's power capability

The way is reduce the current density where it's higher and reduce electric field where it's higher.
Usually the connection between coax connector and cavity is a zone with high current density, use very thick wire.
The zones at High Zo are also interested to High |E| field. A thin sheet of dielectric (PTFE) increase the breakdown voltage.
Also don't use fireable materials such plastic.
Dissipate heat with a radiator.

The voltage breakdown usually occurs first. There are special gasses that are used to fill waveguides and cavities to increase the breakdown limit. Are you really running megawatts? I suspect that there is a sharp corner on part of the conductors.