Spotting

Yes making multiple holes 1/4 to 1/2 inch diameter one flew out and I took a picture more inside because I hear a scratching/tapping noise. Thank you!

Burrowing as in making a hole? Some solitary wasps do that to lay a single egg. Some wasps chew soft wood or stems and carry it off to make paper nests. I cannot tell exactly which species is in your photo. If there are several, and damage is prevalent I suggest you consult a qualified pest control to solve the problem correctly. Most of the wasps I have encounter here in Texas present no problem.

It's burrowing into my second story outdoor deck

What about this insect is causing concern?

Should I be worried?