No. Zoom in. They had the classic "praying mayfly" pose.
C'mon now I may not be great at mayfly species ID but I can differentiate a mayfly from a cranefly and a termite. Both of those have wings that are horizontal over their backs. These were upright wings, vertical in orientation to their body plane.
If you were in Italy, I would've said, "Baetis rhodani!" Very common here, hatches all year round, more or less the same color and size as yours. It'd be interesting to see if Roger can pin down the species. Did you take other photos?