Queen Mab may not appear in the play as a character, but she is certainly prevalent in the play.
Mercutio states that lawyers will dream of lawyering, (paraphrase) butchers butchering, etc. "Dreamers often lie," he says to Romeo, who responds, "In bed as they dream things true." Mercutio is wrong, however, because Romeo's premonition of some occurence at the Capulet ball (which will cost him his life) turns out to be true.
Mercutio's humorous portrayal of Mab, and his deflection of a serious concern of Romeo into a comedic situation, is synchronous with his character. Mercutio often doesn't understand the full nature of a situation before he becomes involved, just like his death scene.