The famous nocturnal Hex hatch of the Midwest (and a few other lucky locations) stirs to the surface mythically large brown trout that only touch streamers for the rest of the year.
This dun was collected in proximity to this spinner, and to this female that looks like the same species.
Among western species, it most closely resembles Ephemerella aurivillii, of which I reared a specimen from a positively-identified nymph and photographed the male dun previously in Alaska. In the photos, this dun does not seem to have the same evidence of the nymph's dorsal stripe, but that's due to the lighting. A faint stripe is apparent under the microscope, as it is in the female linked above.
They do appear to be a bit short for aurivillii, with the male at 8 mm and the female at 9 mm, but the spinners could be a bit longer.
Among the other Ephemerella mayflies documented in Montana, Ephemerella alleni and Ephemerella mucronata are the only two others that seem to not be ruled out.