Video was shot in Pennsylvania. And yes, most people now consider cognatum a synonym of dipterum, but no one has officially sunk it and our North American populations fit the old world cognatum concept. Cloeon dipterum in the broader sense is native to Eurasia and is undoubtedly a complex of species. It is not native to North America, but probably came over on ships in the mid 20th century. I have "barcoded" our local population (using the mitochondrial COI gene) and it matches exactly a specimen collected in Bulgaria. This species is now very common in northeast North America, especially in fishless ponds.
Well, that's because the "incubation" period is more like several weeks. Two genera of N. American mayflies, Callibaetis and Cloeon retain their fertilized/developing eggs in their abdomen for approximately that period of time.