I've no idea, gnu, and it doesn't come up in a search, but more description might help: does it look like a beetle, a wasp, a fly? Is it striped or all one colour?

They might be un-necessarily scared by a myth - a lot of adults think dragonflies sting or bite, which they don't, and most are fearful of bees, which seldom sting unless severely provoked.

There are solitary wasps (Cicada Killers and others), and the European Hornet, which are rare in Eastern Canada, but you see them occasionally. One kind of Cicada Killer (wasp) is common enough that it's in all the bug guides online, but I found one species years ago which took a lot of library searching to find. This thing was a good three+ cm. long, had a flat wide yellow and black abdomen - they prey on grasshoppers and crickets and cicadas, and don't have much of a sting. There are now occasional sightings of European hornets here, which are huge and will sting.

Then there's the Tar Sands Beetle. I have found no evidence online that such a thing exists, but fellas that have worked out there insist that there is a gigantic black beetle that lives in the tar sands and which will leave a terrible bite if it happens to land on you. My husband insists it's true, and that he saw a man who was bitten on the arm, whose arm swelled up so hugely that he had to be taken to hospital. It might be a species of Tiger Beetle, and so might this Yellow Devil, but never having seen one of these bugs, I got nothin'.