Mud daubers do have the capacity to sting. However, mud dauber stings are unlikely and rare because they are not an aggressive species of wasp. They typically only sting if mishandled.
Mud daubers are wasps with long, slender bodies. A thin, thread-like waist connects the thorax and abdomen. These insects are solitary and construct nests out of mud that look like short tubes with a hole in the end. The nests are most often found on the sides of buildings. Unlike other social species that maintain nests in groups, mud daubers do not aggressively defend their nests and so they aren't easily agitated. Mud daubers are, in fact, very beneficial to the environment, as they keep spider populations in check.