Most mayflies lay their eggs immediately after mating; the eggs then take anywhere from 10 days to many months to hatch. Cloeon cognatum is an exception. This species is ovoviviparous, which means that a mated female holds her eggs internally until embryonic development is complete (about 18 days), after which she lays them in water and they hatch immediately.
via: The Flyfish Journal
Science Fact: The mayfly has a lifespan of 2 hours.