Read a little about mayflies, and you will find that they are curious creatures. Among insects, they are the only ones that molt after they have gained their wings. Before this special molt, this winged life-stage is known as the subimago (the adult stage, post-molt is known as the imago, naturally). BugGuide.net says on their mayflies page that subimagos have “wings cloudy in appearance,” which fits the bill of this particular specimen, but I’m not sure how to positively identify it as a subimago or imago.
Mayflies have famously short lives as adults, lasting from a few hours to a few days. (The aquatic nymphal forms, i.e. naiads, live for much longer periods.) Their order’s name, Ephemeroptera, roughly translates into “short-lived wings” or “for a day wings.” They are very important to the sport of fly-fishing, as many of the lures crafted are modeled after mayfly counterparts. As a literary-minded person, however, I find them most appealing for the very ripe opportunities they present for metaphors and reflection on such things as time, life and death, and fleeting beauty. They are pretty cool-looking, too. (Three more photos after the break/below.)