I hate to stomp too hard, but I actually have seen robber flies here in southeastern Va. I was so startled by the first one I saw that I took it to our local nature museum for ID, and the zoologist there did not seem at all surprised by it.
It's possible it drifted on the trades from the canaries, since we also get our hurricans from there, but for the record, I have seen this critter outside of the Canary Islands.
Who knows, maybe I was witnessing the beginning of a variant in the species.
That's the problem with common names. There's more than one species of Robber Fly.
Link:
http://www.geller-grimm.de/asilidae.htm