The reason why I think Cy Young wasn't included is the Mayo set may have New England based and he was in Cleveland at the time. The New England based part is also mentioned in one of the REA auctions right now. It is lot 84, for some reason when I insert a link, it won't work. Here's the language:
Mayos appear to have been targeted primarily for a New England audience as a full 25% of the subjects were with the Boston Nationals while the more glorified Baltimore Orioles, pennant winners in 1894 and 1895, were represented by only two players (Dan Brouthers and Wilbert Robinson). While the issue fails to include such notables as Willie Keeler, John McGraw, Hughie Jennings, Joe Kelley, Sam Thompson, and Cy Young, included are many players who do not appear in any other baseball-card issue, and for most players this is the only set they appear in from the 1890s.
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