See quotations.

1

1837.  Horse Guard, a species of large Hornet that burrows in the sand; destroys the flies.—John L. Williams, ‘The Territory of Florida,’ p. 71 (N.Y.).

2

1838.  Within a few years, a yellow insect larger than the “green-head” has made its appearance wherever the latter was found, and, from its sweeping destruction of the annoying fly, has been called the “horse-guard.”—E. Flagg, ‘The Far West,’ ii. 108 (N.Y.).

3