I mention compound adjectives occasionally; here’s a good example of the difference in meaning when you hyphenate or don’t hyphenate.
Sometimes you have two or more modifiers before a noun. If the first word refers to the next one, you hyphenate them and they function as one word. If they separately refer to the noun, don’t hyphenate.
She is correct! To have “big” refer to the mosquitoes, it should be “big-mosquito lake.”
PS—yes, “mosquito” is a noun, not an adjective. But it’s being used as an adjective. We call this using the noun attributively.