There are lots of water insects where the young stages live in water and breathe with gills (like tadpoles do) but live on land and can fly as adults. The adults must breather air like we do.  


Dragonflies hold their wings sticking out like this one


Damselflies hold their wings folded like a butterfly


Maylies have two or three long tails


This is a mayfly nymph - common in ponds


This is a damselfly nymph - they eaty small pond animals


This is a dragonfly nymph: they can catch and eat tadpoles


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Updated 20 January 2021