I've never known 'em to sting. And yes, I've watched a patch of mud as they tirelessly come and roll up a little ball of mud, over and over, just to come back and get another. There's definitely more than one kind of "mud dauber". But what I call a mud dauber makes a nest out in the open, not inside a hole. These nests are like rows of mud, about the size of your fingers. The insect unrolls the balls of mud in little V shaped layers. I've noticed that they definately prefer a certain type of spider to feed their larvae. Some contain all brown spiders. I've seen "em completely full of lime green spiders, even full of black widow spiders. And they aren't dead, they're zombiefied.
And then there's the sort that fills up a hole. I had one that like to dig a little hole in a pice of green styrofoam. It made a lot of noise while it "rattled" out the hole. Then it filled the hole with the purest white mud you ever saw. It looked like porcelain. I don't know where in the world it came from.
As Spock would say, "Fascinating".