who was the first person to discover these insects?
The oldest mayfly inclusion in amber is "Cretoneta zherichini" (Leptophlebiidae) from the Lower Cretaceous of Siberia.
Mayfly

The oldest mayfly inclusion in amber is "Cretoneta zherichini" (Leptophlebiidae) from the Lower Cretaceous of Siberia. 
are canadian soldiers and mayflies the same thing No, Mayflies  are aquatic insects belonging to the order Ephemeroptera. what is mayfly? They are aquatic insects belonging to the order Ephemeroptera. how do these type of insects breath? UNANSWERABLE
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Mayfly [SEP] Taxonomy and phylogeny
However, from the same locality the strange larvae and adults of the extinct family Mickoleitiidae (order Coxoplectoptera) have been described, which represents the fossil sister group of modern mayflies, even though they had very peculiar adaptations such as raptorial forelegs. The oldest mayfly inclusion in amber is "Cretoneta zherichini" (Leptophlebiidae) from the Lower Cretaceous of Siberia. In the much younger Baltic amber numerous inclusions of several modern families of mayflies have been found (Ephemeridae, Potamanthidae, Leptophlebiidae, Ametropodidae, Siphlonuridae, Isonychiidae, Heptageniidae, and Ephemerellidae). The modern genus "Neoephemera" is represented in the fossil record by the Ypresian species "N. antiqua" from Washington state.