It is entirely possible that you have been near ponds and streams throughout your life without ever noticing the Mayfly. They are very common in Newfoundland and throughout the world. Because they emerge in spring when so many other flying, and often annoying, insects are in the air - they easily mix in with the crowd. Mayflies are very distinctive and extremely valuable to the habitant in which they live.
Why are they so easy to miss? The lifespan is super short. The adult Mayfly (with wings) will live for about two days - some species only last a few hours. The job of the adult is simply to mate and get the eggs deposited back in the water. Adults don't even stop to eat. Most of the Mayfly's life is in the nymph stage - living and feeding under water. They are a great food source for fish and the body type is copied for some fishing flies.
Watch in May and usually in early fall for clouds of Mayflies dancing at the surface of water where they are finding mates. They do not bite or sting so enjoy their short lives without squirming.