Well, as was said, "sulphur" is a rather broad and undefined category.
The prime sulpher hatch in PA, the ones that everyone agrees are "sulphurs" are 2 different species, both of the Ephemerella genus (dorothea and invaria). Invaria are the larger ones (14-16) that come a little earlier, and dorothea are the smaller (16-18) that come later in May. Both species, the entire genus actually, has 3 tails, not 2. So, assuming your bug is complete (has not lost a tail), then it is not one of those two.
That said, there are whole bunch of other yellowish-orange bugs which some people call sulphers. They are not wrong, there is no entity which approves common names, so there is no right or wrong when speaking common names. But those other bugs all have other common names as well, so what they are called will depend on who you talk to! Give me a bit and I'll make an attempt at a more exact ID.