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I have looked into this more, and this looks to be a wasp from genus Agenioideus. The bluish wings and fly-like head match a variety in this genus really well. I'll have to look up more about them though.
You could be right. There are a few different types of Mud Daubers out there, so it could be one of those or one of what you said.
That look like a Mud Dauber Wasp. They generally aren't aggressive and stings are uncommon with them. In Tennessee, you may hear the name dirt dauber for these guys. :)
