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Nowhere in the Scriptures are we told to pray to anyone but the Father. Neither Mary, nor the "saints," are ever referred to as receiving our prayers and forwarding them on to the Father.

"The Bible directs us to invoke those in heaven and ask them to pray with us. Thus in Psalms 103, we pray, 'Bless the Lord, O you his angels, you mighty ones who do his word, hearkening to the voice of his word! Bless the Lord, all his hosts, his ministers that do his will!' (Ps. 103:20-21). And in Psalms 148 we pray, 'Praise the Lord! Praise the Lord from the heavens, praise him in the heights! Praise him, all his angels, praise him, all his host!' (Ps. 148:1-2).
"Not only do those in heaven pray with us, they also pray for us. In the book of Revelation, we read: '[An] angel came and stood at the altar [in heaven] with a golden censer; and he was given much incense to mingle with the prayers of all the saints upon the golden altar before the throne; and the smoke of the incense rose with the prayers of the saints from the hand of the angel before God' (Rev. 8:3-4).
And those in heaven who offer to God our prayers aren’t just angels, but humans as well. John sees that 'the twenty-four elders [the leaders of the people of God in heaven] fell down before the Lamb, each holding a harp, and with golden bowls full of incense, which are the prayers of the saints' (Rev. 5:8). The simple fact is, as this passage shows: The saints in heaven offer to God the prayers of the saints on earth." [Source]

"Pray" just means "ask". Just as we can pray (ask) our fellow Christians living here on Earth to pray for us, so too can we pray (ask) our fellow Christians living in Heaven to pray for us.

You still have not answered the question: why don't you pray directly to the Father? I watch EWTN frequently, and there is constant reference to praying to Mary and to the various saints...and I am simply asking why aren't the prayers directed to the Father alone? We are told in Hebrews to "come boldly before the Throne of Grace." Where are we "told" to pray to Mary or to the saints.

The saints in heaven offer to God the prayers of the saints on earth.

Nowhere is that stated in Scripture.