I hate to suggest it, as I've never tried one and it's pricey for what it seems to be, but have you looked at anything like this? Dover Saddlery | Net Relief Muzzle Net .
I'm not sure if it's show-legal, but for the purposes of riding at home maybe you could get a good look at one and make your own for a little less cost? A lot of fabric stores have thin, fine meshes...
Otherwise, is there any reason to not use something like Swat ointment for the show? It comes in a clear formulation. I know it's meant for wounds, but I don't see how using it for some extra anti-fly oomph around the muzzle would hurt.