A million cores won't look like a bigger Xeon or EPYC in a socket.
It'll be a combination of nascent technologies on the cusp of viability.
First, something like this will have to be manufactured with a future process node about 2-3 generations past what is currently planned. Intel has plans in place for "18A", so we're talking something like "5A" here, with upwards of 1 trillion transistors per chip. We're already over 200 billion, so this is not unreasonable.
Power draw will have to be reduced by switching materials to something like silicon-carbide instead of pure silicon.
Then this will have to use 3D stacking of some sort and packaging more like DIMMs instead of a single central CPU. So dozens of sockets per box with much weaker memory coherency guarantees. We can do 8-16 sockets with coherent memory now, and we're already moving towards multiple chiplets on a board that is itself a lot like a large chip with very high bandwidth interconnect. This can be extended further, with memory and compute interleaved.
Some further simplifications might be needed. This might end up looking like a hybrid between GPUs and CPUs. An example might be the IBM POWER server CPUs, some of which have 8 hyper-threads per physical core. Unlike POWER, getting to hundreds of kilocores or one megacore with general-purpose compute might require full-featured but simple cores.
Imagine 1024 compute chiplets, each with 64 GB of local memory layered on top. Each chiplet has 32 simple cores, and each core has 8 hyper threads. This would be a server with 64 TB of memory and 256K vCPUs. A single big motherboard with 32 DIMM-style sockets each holding a compute board with 32 chiplets on it would be about the same size as a normal server.