The fly swatter is wired to produce pulse DC current to store charge in the capacitor. Else an alternating current won't charge the big capacitor. The reading you got is due to the bleeder resistor connected between the output for safety reason. When the switch is off and the capacitor is charged, the current would travel backwards through the resistor into the negative terminal, to 'bleed' out the charge. As it travels backwards, the capacitor would be charged inversely, so the current would travel back and forth like an alternating current until the current is completely gone. Usually it takes just a few second for the current to be dissipated fully.
However, when the output is producing too much voltage for the bleeder during closed circuit, the current would alternate between the outputs across the resistor and thus produce an AC component. This is made possible because the output is only half-rectified, so the moment when backward current is opposed by the diode, it travels elsewhere [ through the resistor ].
Cutting out the resistor will get rid of the AC component and would enable you to store charge in the capacitor longer.
