One of these is a cuticle, or exo-skeleton, made of chitin. Like many natural materials, chitin is very versatile. It can be thick and rigid, or thin and flexible. It even penetrates inside the insect in the form of breathing tubes, which are inward developments of the cuticle. The abdomen of this insect is tubular, which is advantageous for breathing, because the animal has no lungs.
Air simply diffuses.
So an insect can never be enormously big, because every part needs to be near the surface. A tube is just the right shape, therefore, for a creature that spends much time flying, and needs much oxygen. The long tube, with a relatively large moment of inertia, may help to stabilize the insect against the motion of the four large wings. The wings of dragonflies are based on tubes, arranged in a fine network. Even those with four have often evolved to the point where one pair acts only as a cover for the other par.